Editors' introduction: Fractional differencing and long memory processes
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
Reference7 articles.
1. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;Journal of Econometrics,1996
2. A long memory property of stock returns and a new model;Ding;Journal of Empirical Finance,1993
3. The estimation and application of long memory time series models;Geweke;Journal of Time Series Analysis,1983
4. Some properties of time series data and their use in econometric model specification;Granger;Journal of Econometrics,1981
5. An introduction to long memory time series models and fractional differencing;Granger;Journal of Time Series Analysis,1980
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