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A comparison of some estimators of time series autocorrelations

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  • Chan, Wai-sum
  • Wei, William W. S.

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  • Chan, Wai-sum & Wei, William W. S., 1992. "A comparison of some estimators of time series autocorrelations," Computational Statistics & Data Analysis, Elsevier, vol. 14(2), pages 149-163, August.
    • Handle: RePEc:eee:csdana:v:14:y:1992:i:2:p:149-163
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    Cited by:

    1. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 353-367, March.
    2. Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June.
    3. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027, March.

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