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Volumn 5, Issue 3, 1998, Pages 135-138

Stochastic long memory in traded goods prices

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0003293985     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/758521368     Document Type: Article
Times cited : (7)

References (15)
  • 1
    • 21344432533 scopus 로고    scopus 로고
    • Analysing inflation by the fractionally integrated ARFIMA-GARCH model
    • Baillie, R.T., Chung, C.-F. and Tieslau, M.A. (1996) Analysing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics, 11, 23-40.
    • (1996) Journal of Applied Econometrics , vol.11 , pp. 23-40
    • Baillie, R.T.1    Chung, C.-F.2    Tieslau, M.A.3
  • 4
    • 84986759400 scopus 로고
    • The estimation and application of long memory time series models
    • Geweke, J. and Porter-Hudak, S. (1983) The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-38.
    • (1983) Journal of Time Series Analysis , vol.4 , pp. 221-238
    • Geweke, J.1    Porter-Hudak, S.2
  • 5
    • 84986792205 scopus 로고
    • An introduction to long-memory time series models and fractional differencing
    • 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.
    • (1980) Journal of Time Series Analysis , vol.1 , pp. 15-39
    • Granger, C.W.J.1    Joyeux, R.2
  • 7
    • 84872347681 scopus 로고
    • International finance discussion paper no. 304, Board of Governors, Federal Reserve System, Washington, DC
    • Helkie, W.L. and Hooper, P. (1987) The U.S. external deficit in the 1980s, International finance discussion paper no. 304, Board of Governors, Federal Reserve System, Washington, DC.
    • (1987) The U.S. External Deficit in the 1980s
    • Helkie, W.L.1    Hooper, P.2
  • 9
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
    • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, 54, 159-78.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 10
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    • Newey, W. and West, K. (1987) A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 11
    • 0000308535 scopus 로고
    • Time series regression with a unit root
    • Phillips, P.C.B. (1987) Time series regression with a unit root, Econometrica, 55, 277-301.
    • (1987) Econometrica , vol.55 , pp. 277-301
    • Phillips, P.C.B.1
  • 12
    • 77956888124 scopus 로고
    • Testing for a Unit Root in Time Series Regression
    • Phillips, P.C.B. and Perron, P. (1988) Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335-46.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 13
    • 44049114907 scopus 로고
    • Maximum likelihood estimation of stationary univariate fractionally-integrated time-series models
    • Sowell, F. (1992a) Maximum likelihood estimation of stationary univariate fractionally-integrated time-series models. Journal of Econometrics, 53, 165-88.
    • (1992) Journal of Econometrics , vol.53 , pp. 165-188
    • Sowell, F.1
  • 14
    • 44049120475 scopus 로고
    • Modeling long-run behaviour with the fractional ARIMA model
    • Sowell, F. (1992b) Modeling long-run behaviour with the fractional ARIMA model, Journal of Monetary Economics, 29, 277-302.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 277-302
    • Sowell, F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.