Department of Economics and Business Economics

Fractionally differenced Gegenbauer processes with long memory: A review

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  • STS649

    Final published version, 296 KB, PDF document


  • G. S. Dissanayake, NSBM Green University, University of Sydney
  • ,
  • M. S. Peiris, University of 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
Pages (from-to)413-426
Number of pages14
Publication statusPublished - 1 Aug 2018

    Research areas

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

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