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Journal of Time Series Analysis
Volumn 23, Issue 5, 2002, Pages 503-508
A note on calculating autocovariances of long-memory processes
Author keywords

GARMA; Generalized integrated process; Long memory
Indexed keywords

EID: 0040673601     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00275     Document Type: Article
Times cited : (23)
References (13)
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    • 1 BAILLIE, R. T. (1996) Long memory processes and fractional integration in econometrics. Journal of Econometrics 73, 5–59.
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    • BAILLIE, R.T.1
  • 2
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    • 2 BERAN, J. A. (1994) Statistics for long memory processes, New York: Chapman & Hall.
    • (1994)
    • BERAN, J.A.1
  • 3
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    • 3 BROCKWELL, P. J. and DAVIS, R. (1991) Time series: Theory and methods. NY. Springer–Verlag.
    • (1991)
    • BROCKWELL, P.J.1    DAVIS, R.2
  • 4
    • 21344487237 scopus 로고
    • A note on calculating the autocovariances of fractionally integrated ARMA models
    • 4 CHUNG, C. (1994a) A note on calculating the autocovariances of fractionally integrated ARMA models. Economics Letters 45, 293–7.
    • (1994) Economics Letters , vol.45 , pp. 293-7
    • CHUNG, C.1
  • 5
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    • A generalized fractionally integrated autoregressive moving‐average process
    • 5 (1994b) A generalized fractionally integrated autoregressive moving‐average process. Journal of Time Series Analysis 17, 111–40.
    • (1994) Journal of Time Series Analysis , vol.17 , pp. 111-40
  • 6
    • 0007706464 scopus 로고    scopus 로고
    • Estimating a generalized long memory process
    • 6 (1996) Estimating a generalized long memory process. Journal of Econometrics 73 (1), 237–60.
    • (1996) Journal of Econometrics , vol.73 , pp. 237-60
  • 7
    • 84986792205 scopus 로고
    • An introduction to long memory time series models and fractional differencing
    • 7 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, 15–29.
    • (1980) Journal of Time Series Analysis , vol.1 , pp. 15-29
    • GRANGER, C.W.J.1    JOYEUX, R.2
  • 9
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    • On generalized fractional process – A correction
    • 9 — and — (1994) On generalized fractional process–A correction. Journal of Time Series Analysis 15 (5), 561–62.
    • (1994) Journal of Time Series Analysis , vol.15 , pp. 561-62
    • — and —1
  • 10
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    • Fractional, differencing, Biometrika
    • 10 HOSKING, J. R. M. (1981) Fractional, differencing, Biometrika 68, 165–76.
    • (1981) , vol.68 , pp. 165-76
    • HOSKING, J.R.M.1
  • 11
    • 0021638982 scopus 로고
    • Modelling persistence in hydrological time series using fractional differencing
    • 11 (1984) Modelling persistence in hydrological time series using fractional differencing. Water Resource Research 20 (12), 1898–908.
    • (1984) Water Resource Research , vol.20 , pp. 1898-908
  • 12
    • 44049114907 scopus 로고
    • Maximum likelihood estimation of stationary univariate fractionally integrated time series models
    • 12 SOWELL, F. B. (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. 165-88
    • SOWELL, F.B.1
  • 13
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    • Modelling the long run behaviour with the fractional ARIMA model
    • 13 (1992b) Modelling the 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

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