Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence
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- Ørregaard Nielsen, Morten, 2004. "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 145-166, January.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhongjun Qu, 2011.
"A Test Against Spurious Long Memory,"
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More about this item
KeywordsBrownian Motion; Fractional ARIMA; Functional Central Limit Theorem; Goodness-of-fit Test; Integrated Periodogram; Long Memory; Narrow-band Frequency Domain Least Squares;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-28 (All new papers)
- NEP-ECM-2004-03-28 (Econometrics)
- NEP-ETS-2004-03-28 (Econometric Time Series)
- NEP-RMG-2004-03-28 (Risk Management)
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