Long memory continuous time models

Journal of Econometrics

Volumn 73, Issue 1, 1996, Pages 101-149

  Comte, F ^a   Renault, E ^a  

^a Toulouse School of Economics   (France)

Author keywords

Continuous time models; Long memory

Indexed keywords

EID: 0001399448     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01735-6     Document Type: Article

References (32)

1. Abramowitz, M. and I.A. Stegun, 1972, Handbook of mathematical functions (Dover Publications, New York), NY).
2. Backus, D.K. and S.E. Zin, 1995, Long-memory inflation uncertainty: Evidence from the term structure of interest rates, Journal of Money, Credit and Banking 25, 681-700.
3. Baillie, R.T., T. Bollerslev, and H.O.A. Mikkelsen, 1993, Fractionally integrated generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, forthcoming.
4. Bergstrom, A.R., 1990, Continuous time econometric modelling, in: C.W.J. Granger and G. Mizon, eds., Advanced text in econometrics (Oxford University Press, Oxford).
5. Cheung, Y.W. and K.S. Lai, 1993. A fractional cointegration analysis, Journal of Business and Economic Statistics 11, 103-112.
6. Comte, F., 1993, Simulation and estimation of long memory continuous time models, Journal of Time Series Analysis, forthcoming.
7. Comte, F. and E. Renault, 1992, Noncausality in continuous time VARMA models, Econometric Theory, forthcoming.
8. Cox, J., J. Ingersoll, and S. Ross, 1981, A re-examination of traditional hypotheses about the term structure of interest rates, Journal of Finance 36, 769-799.
9. Dahlhaus, R., 1989, Efficient parameter estimation for self-similar processes, Annals of Statistics 17, 1749-1766.
10. Ding, Z., C.W.J. Granger, and R.F. Engle, 1993, A long memory property of stock market returns and a new model, Journal of Empirical Finance 1, 83-108.
11. Fox, R. and M.S. Taqqu, 1986, Large sample properties of parameter estimates for strongly dependent stationary time series, Annals of Statistics 14, 517-532.
12. Geweke, J. and S. Porter-Hudak, 1983, The estimation and application of long memory time series models, Journal of Time Series Analysis 4, 221-238.
13. Goncalves, E. and C. Gourieroux, 1988, Agrégation de processus autorégressifs d'ordre 1, Annales d'Economie et de Statistisques 12, 127-149.
14. Gourieroux, C. and A. Monfort, 1990, Séries temporelles et modèles dynamiques (Economica, Paris).
15. Granger, C.W.J., 1980, Long memory relationships and the aggregation of dynamic models, Journal of Econometrics, 14, 227-238.
16. Granger, C.W.J. and R. Joyeux, 1980, An introduction to long memory time series models and fractional differencing, Journal of Time Series Analysis 1, 15-29.
17. Harrison, J. and D. Kreps, 1979, Martingale and arbitrage in multiperiods securities markets. Journal of Financial Economic Theory 20, 380-408.
18. Haubrich, J. and A. Lo, 1991, The sources and nature of long-term memory in the business cycle, Unpublished manuscript (Federal Reserve Bank of Cleveland, Cleveland, OH).
19. Hosking, J.M.R., 1981, Fractional differencing,Biometrica 68, 165-176.
20. Kunsch,H., 1987, Discrimination between monotonie trends and long range dependence, Journal of Applied Probabilities 23, 1025-030.
21. Lawrance, A.J. and N.T. Kottegoda, 1977, Stochastic modelling of Riverflow times series, Journal of the Royal Statistical Society A 140, Part 1, 1-47.
22. Lo, A.W., 1991, Long term memory in stock market prices, Econometrica 59, 1279-1313.
23. Mandelbrot, B.B. and Van Ness, 1968, Fractional Brownian motions, fractional noises and applications, SIAM Review 10, 422-437.
24. Mandelbrot, B.B., 1971, When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models, Review of Economics and Statistics 53, 225-236.
25. Merton, R.C., 1990, Continuous-time finance (Blackwell, Oxford).
26. Protter, P., 1990, Stochastic integration and differential equations (Springer-Verlag, New York, NY).
27. Robinson, P.M., 1992, Log-periodogram regression of time series with long range dependence, Working paper, London School of Economics Invited Session of the European Congress of the Econometric Society, Brussels, August (London School of Economics, London).
28. Rozanov, Yu A., 1968, Stationary ramdon processes (Holden-Day, San Francisco, CA).
29. Schwartz, L., 1966, Théorie des distributions (Hermann, Paris).
30. SIMS, C.A., 1984, Martingale-like behavior of asset prices and interest rates, Discussion paper 205 (Department of Economics, University of Minnesota, Minneapolis, MN).
31. Sowell, F., 1992, Modeling long-run behavior with the fractional ARMA model, Journal of Monetary Economics 29, 277-302.
32. Vasicek, O., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.