Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables
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Cited by:
- Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Indeewara Perera & Javier Hidalgo & Mervyn J. Silvapulle, 2016. "A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1111-1141, June.
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More about this item
Keywords
conditional heteroscedasticity; long-memory; weak stationarity; econometrics of high-frequency financial data;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-11-28 (Econometrics)
- NEP-ETS-2002-11-28 (Econometric Time Series)
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