Long Memory and Long Run Variation
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- Lieberman, Offer & Phillips, Peter C.B., 2008.
"A complete asymptotic series for the autocovariance function of a long memory process,"
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Elsevier, vol. 147(1), pages 99-103, November.
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- 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.
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- Simos Theodore, 2012. "On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-26, November.
More about this item
KeywordsAsymptotic expansion; Autocovariance function; Fractional pole; Fourier integral; Generalized function; Long memory; Long range dependence; Singularity;
- 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-2008-05-24 (All new papers)
- NEP-ECM-2008-05-24 (Econometrics)
- NEP-ETS-2008-05-24 (Econometric Time Series)
- NEP-ORE-2008-05-24 (Operations Research)
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