SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES

By C. Chung. Econometric Theory, 2002

62 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4a93d681c7d6760086c54514470f811dba91ba49

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In Economics and Econometrics

1. Wei Biao Wu
2. Wanli Min
3. Xiaofeng Shao
4. Zhou Zhou
5. Weidong Liu
6. István Berkes
7. Siegfried Hormann
8. Han Xiao

In Finance

1. Wei Biao Wu
2. Wanli Min
3. Xiaofeng Shao
4. Zhou Zhou
5. Weidong Liu
6. István Berkes
7. Siegfried Hormann
8. Andreas Hagemann

Citations in the corpus

• On linear processes with dependent innovations (2005, methodology): “widely-used ARCH models. In this paper, we shall apply the central limit theory and the idea of martingale approximations developed in Woodroofe (1992) and Wu and Woodroofe (2003) to obtain asymptotic distributions of the sample means and covariances of (2) under sufficiently mild conditions. Our re”
• Wavelet estimation for operator fractional Brownian motion (2015, unknown): “), Doukhan et al. (2003). On one hand, the multivariate framework evokes several applications, such as in long range dependent time series (Marinucci and Robinson (2000), Davidson and de Jong (2000), Chung (2002), Dolado and Marmol (2004), Davidson and Hashimzade (2008)), Kechagias and Pipiras (2015”