Long-memory property of nonlinear transformations of break processes
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- Diebold, Francis X. & Inoue, Atsushi, 2001.
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- Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
- Iliyan GEORGIEV, 2002. "Functional Weak Limit Theory for Rare Outlying Events," Economics Working Papers ECO2002/22, European University Institute.
- Dittmann, Ingolf & Granger, Clive W. J., 2002.
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- Dittmann, Ingolf & Granger, Clive W. J., 2000. "Properties of nonlinear transformations of fractionally integrated processes," Technical Reports 2000,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Dittmann, Ingolf & Granger, Clive W.J., 2000. "Properties of Nonlinear Transformations of Fractionally Integrated Processes," University of California at San Diego, Economics Working Paper Series qt0kk9x0mc, Department of Economics, UC San Diego.
- Robert F. Engle & Aaron D. Smith, 1999.
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- Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series qt99v0s0zx, Department of Economics, UC San Diego.
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