Generating schemes for long memory processes: Regimes, aggregation and linearity

Journal of Econometrics

Volumn 128, Issue 2, 2005, Pages 253-282

  Davidson, James ^a   Sibbertsen, Philipp ^b  

^a UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

^b TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Aggregation; Levy motion; Long memory; Regime switching

Indexed keywords

AGGLOMERATION; BROWNIAN MOVEMENT; COMPUTER SIMULATION; MATHEMATICAL MODELS; NONLINEAR SYSTEMS; NORMAL DISTRIBUTION;

GAUSSIAN PROCESS; LEVY MOTION; LONG MEMORY; REGIME-SWITCHING;

TIME SERIES ANALYSIS;

EID: 24144487122     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.014     Document Type: Article

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