Fractionally Integrated Time Series Analysis

References

Chung, C.F. (1996), "A Generalized Fractionally Integrated ARMA Process," Journal of Time Series Analysis, 2, 111 -140.

Geweke, J. and Porter-Hudak, S. (1983), "The Estimation and Application of Long Memory Time Series Models," Journal of Time Series Analysis, 4, 221 -238.

Granger, C.W.J. and Joyeux, R. (1980), "An Introduction to Long Memory Time Series Models and Fractional Differencing," Journal of Time Series Analysis, 1, 15 -39.

Hosking, J.R.M. (1981), "Fractional Differencing," Biometrika, 68, 165 -176.

Li, W.K. and McLeod, A.I. (1986), "Fractional Time Series Modeling," Biometrika, 73, 217 -221.

Sowell, F. (1992), "Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models," Journal of Econometrics, 53, 165 -88.

Chapter Contents
Previous
Next
Top