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Varieties of long memory models

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

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  • Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
  • Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:61-77
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    References listed on IDEAS

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    1. C. W. J. Granger, 1988. "Models That Generate Trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(4), pages 329-343, July.
    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. 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.
    5. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    6. Henry L. Gray & Nien‐Fan Zhang & Wayne A. Woodward, 1989. "On Generalized Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 233-257, May.
    7. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    8. Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar Publishing, volume 0, number 599.
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