The Estimation of Continuous Parameter Long-Memory Time Series Models
Author
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
- Mohamedou Ould Haye & Anne Philippe & Caroline Robet, 2024. "Inference for continuous-time long memory randomly sampled processes," Statistical Papers, Springer, vol. 65(5), pages 3111-3134, July.
- Leonenko, Nikolai N. & Sharapov, Michail M. & El-Bassiouny, Ahmed H., 2000. "On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields," Statistics & Probability Letters, Elsevier, vol. 48(2), pages 121-130, June.
- repec:hal:journl:peer-00815563 is not listed on IDEAS
- 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.
- Henghsiu Tsai & K. S. Chan, 2005. "Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.
- Wymer Clifford R., 2012. "Continuous-Tme Econometrics of Structural Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-28, April.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Estimation of Long Memory in Integrated Variance,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
- Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
- Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
- Anne Philippe & Caroline Robet & Marie-Claude Viano, 2021. "Random discretization of stationary continuous time processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(3), pages 375-400, April.
- Joanne S. Ercolani, 2010. "On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter," Discussion Papers 10-09, Department of Economics, University of Birmingham.
- 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.
- Theodore Simos & Mike Tsionas, 2018. "Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme," Computational Statistics, Springer, vol. 33(4), pages 1687-1713, December.
- Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 613-624, July.
- Comte, F., 1998. "Discrete and continuous time cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 207-226, November.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:12:y:1996:i:02:p:374-390_00. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.