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A note on calculating the autocovariances of the fractionally integrated ARMA models
Chung, Ching-fan - In: Economics letters 45 (1994) 3, pp. 293-297
Persistent link: https://www.econbiz.de/10001165788
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Sample means, sample autocovariances, and linear regression of stationary multivariate long memory processes
Chung, Ching-fan - In: Econometric theory 18 (2002) 1, pp. 51-78
Persistent link: https://www.econbiz.de/10001652612
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Long memory in currency futures volatility
Chung, Ching-fan; Hung, Mao-Wei; Liu, Yu-hong - In: Research in finance 20 (2003), pp. 139-158
Persistent link: https://www.econbiz.de/10001903435
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Analysing inflation by the fractionally integrated ARFIMA-GARCH model
Baillie, Richard - In: Journal of applied econometrics 11 (1996) 1, pp. 23-40
Persistent link: https://www.econbiz.de/10001196179
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Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models
Chung, Ching-fan - In: Empirical economics : a journal of the Institute for … 18 (1993) 4, pp. 791-806
Persistent link: https://www.econbiz.de/10001331519