Hwang, Eunju; Shin, Dong Wan - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 339-358
We develop an infinite-order extension of the HAR-RV model, denoted by HAR(∞). We show that the autocorrelation function of the model is algebraically decreasing and thus the model is a long-memory model if and only if the HAR coefficients decrease exponentially. For a finite sample, a...