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Temporal Aggregation of Lognormal AR processes


  • Esther Salazar
  • Marco A. R. Ferreira


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  • Esther Salazar & Marco A. R. Ferreira, 2011. "Temporal Aggregation of Lognormal AR processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 661-671, November.
  • Handle: RePEc:bla:jtsera:v:32:y:2011:i:6:p:661-671 DOI: j.1467-9892.2011.00723.x

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    References listed on IDEAS

    1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
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    Cited by:

    1. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
    2. repec:spr:sankhb:v:79:y:2017:i:2:d:10.1007_s13571-016-0129-3 is not listed on IDEAS

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