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A note on self-similarity for discrete time series

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Author Info
Dominique Guégan () (Centre d'Economie de la Sorbonne)
Zhiping Lu () (East China Normal University et Centre d'Economie de la Sorbonne)

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Abstract

The purpose of this paper is to study the self-similar properties of discrete-time long memory processes. We apply our results to specific processes such as GARMA processes and GIGARCH processes, heteroscedastic models and the processes with switches and jumps.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2007/B07055.pdf
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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b07055.

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Length: 10 pages
Date of creation: Nov 2007
Date of revision:
Handle: RePEc:mse:cesdoc:b07055

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Covariance stationary; Long memory processes; short memory processes; self-similar; asymptotically second-order self-similar; autocorrelation function.;

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Find related papers by JEL classification:
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General

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This page was last updated on 2009-11-23.


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