Department of Economics and Business Economics

Fractionally differenced Gegenbauer processes with long memory: A review

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Documents

  • STS649

    Final published version, 295 KB, PDF document

DOI

  • G. S. Dissanayake, NSBM Green University, Sydney University, Sydney
  • ,
  • M. S. Peiris, Sydney University, Sydney
  • ,
  • T. Proietti

The main objective of this paper is to review and promote the usefulness of generalized fractionally differenced Gegenbauer processes in time series and econometric research endeavours. In particular, theoretical and computational aspects centered around fractionally differenced Gegenbauer processes with long memory together with a number of interesting and elegant extensions will be discussed. In-depth conceptual developments and large scale simulation study results are presented for clarity and completeness. This survey highlights a number of gaps in the existing literature of this subject area and becomes a valuable reference source for time series practitioners.

Original languageEnglish
JournalStatistical Science
Volume33
Issue3
Pages (from-to)413-426
Number of pages14
ISSN0883-4237
DOIs
Publication statusPublished - 1 Aug 2018

    Research areas

  • Fractional difference, Gegenbauer process, Heteroskedasticity, Invertibility, Long memory, Spectral density, Stationarity, Volatility

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 136789541