Varieties of long memory models

Journal of Econometrics

Volumn 73, Issue 1, 1996, Pages 61-77

  Granger, Clive W J ^a   Ding, Zhuanxin ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Frank Russell Company   (United States)

Author keywords

Fractional integration; Long memory; Nonlinear time series

Indexed keywords

EID: 0002626689     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01733-X     Document Type: Article

References (21)

1. Box, G.E.P. and G.M. Jenkins, 1970, Time series, forecasting and control (Holden-Day, San Francisco, CA).
2. Ding, Z., 1994, Time series analysis of speculative returns, Ph.D. dissertation (Economics Department, University of California, San Diego, CA).
3. Ding, Z. and C.W.J. Granger, 1996, Modeling volatility persistence of speculative returns: A new approach, Journal of Econometrics, this issue.
4. 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, 83-106.
5. Ermini, L. and C.W.J. Granger, 1993, Some generalizations of the algebra of I(1) processes, Journal of Econometrics 58, 369-384.
6. Geweke, J. and S. Porter-Hudak, 1983, The estimation and application of long memoty time series models, Journal of Time Series Analysis 4, 221-238.
7. Granger, C.W.J., 1980, Long memory relationships and the aggregation of dynamic models, Journal of Econometrics 14, 227-238.
8. Granger, C.W.J., 1987, Generalized integrated processes, Discussion paper (Economics Department, University of California, San Diego, CA).
9. Granger, C.W.J., 1988, Models that generate trends, Journal of Time Series Analysis 9, 329-343.
10. Granger, C.W.J., 1995, Non-linear relationships between non-stationary processes, Econometrica 63, 265-279.
11. Granger, C.W.J. and Z. Ding, 1996, Some properties of absolute return: An alternative measure of risk, Annales d'Economie et de Statistique, forthcoming.
12. Granger, C.W.J. and J. Hallman, 1991, Nonlinear transformation of integrated time series, Journal of Time Series Analysis 13, 207-224.
13. 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.
14. Granger, C.W.J. and P. Newbold, 1986, Forecasting economic times series, 2nd ed. (Academic Press, San Francisco, CA).
15. Granger, C.W.J. and N. Swanson, 1992, An introduction to stochastic unit root processes, Discussion paper (Economics Department, University of California, San Diego, CA).
16. Gray, H. L., N.F. Zhang, and W.A. Woodward, 1989, On generalized fractional processes, Journal of Time Series Analysis 10, 233-258.
17. Hosking, J., 1981, Fractional differencing, Biometrika 68, 165-176.
18. Levy, P., 1937, Sur les exponentielles des polynoms, Annales Scientifiques Ecole Normale Superieue (3e serie) 73, 231-292.
19. Lin, Jin-Lung, 1991, Generalized integrated processes and the aggregation of dynamic time series, Academia Economic Papers 19, 207-226.
20. Lukacs, E., 1970, Characteristic functions, 2nd ed. (Griffin, London).
21. Seneta, E., 1976, Regularly varying functions, Lecture notes in mathematics no. 508 (Springer-Verlag, New York, NY).