Convex combinations of long memory estimates from different sampling rates
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Volume (Year): 21 (2006)
Issue (Month): 3 (December)
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- Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491.
- Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313.
- Andersson, Michael K., 1998. "Do Long-Memory Models Have Long Memory?," SSE/EFI Working Paper Series in Economics and Finance 227, Stockholm School of Economics, revised 16 Mar 2000.
- Leonardo Rocha Souza, 2007.
"Temporal Aggregation and Bandwidth selection in estimating long memory,"
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- Souza, Leonardo Rocha, 2003. "Temporal Aggregation and Bandwidth Selection in Estimating Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 478, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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