论文信息 - Editors' introduction: Fractional differencing and long memory processes - 字舞流文

Editors' introduction: Fractional differencing and long memory processes

Maxwell L. King | Richard T. Baillie | R. Baillie | M. King

[1] C. Granger. Some properties of time series data and their use in econometric model specification , 1981 .

[2] C. Granger,et al. A long memory property of stock market returns and a new model , 1993 .

[3] H. E. Hurst,et al. Long-Term Storage Capacity of Reservoirs , 1951 .

[4] J. Geweke,et al. THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS , 1983 .

[5] C. Granger,et al. AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING , 1980 .

[6] R. Baillie,et al. Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .