State space modeling of Gegenbauer processes with long memory
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DOI: 10.1016/j.csda.2014.09.014
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- Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
- Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Kechagias, Stefanos & Pipiras, Vladas & Zoubouloglou, Pavlos, 2024. "Cyclical long memory: Decoupling, modulation, and modeling," Stochastic Processes and their Applications, Elsevier, vol. 175(C).
- Paul M. Beaumont & Aaron D. Smallwood, 2024. "Conditional sum of squares estimation of k-factor GARMA models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(3), pages 501-543, September.
- Phillip, Andrew & Chan, Jennifer & Peiris, Shelton, 2020. "On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin," Econometrics and Statistics, Elsevier, vol. 16(C), pages 69-90.
- Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Richard Hunt & Shelton Peiris & Neville Weber, 2022. "Estimation methods for stationary Gegenbauer processes," Statistical Papers, Springer, vol. 63(6), pages 1707-1741, December.
- Federico Maddanu & Tommaso Proietti, 2023. "Trends in atmospheric ethane," Climatic Change, Springer, vol. 176(5), pages 1-23, May.
- Jan Beran & Jeremy Näscher & Fabian Pietsch & Stephan Walterspacher, 2024. "Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(4), pages 705-731, December.
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Keywords
Long memory; Gegenbauer processes; State space models;All these keywords.
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