Analysing inflation by the fractionally integrated Arfima-Garch model

Journal of Applied Econometrics

Volumn 11, Issue 1, 1996, Pages 23-40

  Baillie, Richard T ^a   Chung, Ching Fan ^a   Tieslau, Marge A ^b  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b UNIVERSITY OF NORTH TEXAS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21344432533     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199601)11:1<23::AID-JAE374>3.0.CO;2-M     Document Type: Article

References (11)

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10. Wiehern, D. W. (1973), 'The behavior of the sample autocorrelation function for an integrated moving average process', Biometrika, 60, 235-239.
11. Yajima, Y. (1988), 'On estimation of a regression model with long memory stationary errors', Annals of Statistics, 16, 791-807.