AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

Journal of Time Series Analysis

Volumn 1, Issue 1, 1980, Pages 15-29

  Granger, C W J ^a   Joyeux, Roselyne ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Fractional differencing; integrated models; long memory

Indexed keywords

EID: 84986792205     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1980.tb00297.x     Document Type: Article

References (9)

1. Spurious Regressions in Economics
2. Preservation of the Rescaled Adjusted Range Parts 1, 2 and 3
3. Stochastic Modelling of Riverflow Time Series
4. Fractional Brownian Motions, Fractional Noises and Applications
5. A Fast Fractional Gaussian Noise Generator
6. Money, Income and Sunspots: Measuring Economic Relationships and the Effects of Differencing
7. Fractional Integrals of Stochastic Processes and the Central Limit Theorem