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Varieties of long memory models

  • Granger, Clive W. J.
  • Ding, Zhuanxin

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3VW1TT8-3/2/dbf32c0d66bf0cd63c88695c1ac65276
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 73 (1996)
Issue (Month): 1 (July)
Pages: 61-77

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Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:61-77
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Ermini, Luigi & Granger, Clive W. J., 1993. "Some generalizations on the algebra of I(1) processes," Journal of Econometrics, Elsevier, vol. 58(3), pages 369-384, August.
  2. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  3. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  4. Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar, volume 0, number 599, December.
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