Why Aggregate Long Memory Time Series?
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- repec:hal:journl:peer-00815563 is not listed on IDEAS
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013.
"Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate,"
International Review of Financial Analysis,
Elsevier, vol. 29(C), pages 1-9.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," CESifo Working Paper Series 4224, CESifo Group Munich.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," Discussion Papers of DIW Berlin 1294, DIW Berlin, German Institute for Economic Research.
- Sun, Jingwei & Shi, Wendong, 2014. "Aggregation of the generalized fractional processes," Economics Letters, Elsevier, vol. 124(2), pages 258-262.
- Hassler, Uwe, 2011.
"Estimation of fractional integration under temporal aggregation,"
Journal of Econometrics,
Elsevier, vol. 162(2), pages 240-247, June.
- Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
- Shi, Wendong & Sun, Jingwei, 2016. "Aggregation and long-memory: An analysis based on the discrete Fourier transform," Economic Modelling, Elsevier, vol. 53(C), pages 470-476.
- Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
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KeywordsBandwidth; Long memory; Spectrum; Temporal aggregation;
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