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A class of nearly long-memory time series models

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  • Breidt, F. Jay
  • Hsu, Nan-Jung
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    File URL: http://www.sciencedirect.com/science/article/B6V92-44X05B9-2/2/73778d9fa68bc3fe329387898bdd2019
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 18 (2002)
    Issue (Month): 2 ()
    Pages: 265-281

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    Handle: RePEc:eee:intfor:v:18:y:2002:i:2:p:265-281

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    Web page: http://www.elsevier.com/locate/ijforecast

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    References

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    1. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
    2. Granger, Clive W.J. & Hyung, Namwon, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series qt4d60t4jh, Department of Economics, UC San Diego.
    3. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
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    Cited by:
    1. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, vol. 19(3), pages 399-430, August.
    2. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics.
    3. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics.
    4. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
    5. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. repec:hal:journl:halshs-00270708 is not listed on IDEAS
    7. Rehim Kilic, 2011. "A conditional variance tale from an emerging economy's freely floating exchange rate," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2465-2480.
    8. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. repec:hal:journl:halshs-00187875 is not listed on IDEAS

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