Estimating and forecasting the long-memory parameter in the presence of periodicity
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DOI: 10.1002/for.1030
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References listed on IDEAS
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- Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
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