Nonlinear Measures of Persistence in Time Series
Bibliographic Data
| ID | 20072570 |
|---|---|
| Authors | Gilles Dufrénot (0000-0002-2106-5888, Centre National de la Recherche Scientifique), Valérie Mignon (Université Paris Cité) |
| Year | 2002 |
| Pages | 117-192 |
| Publication date | 2002-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | CHAPTER |
| Venue | Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance (SOURCE_BOOK) |
| Publisher | Springer US (PUBLISHER • US) |
| DOI | 10.1007/978-1-4757-3615-1_3 |
| OpenAlex | W987721412 |
| ISBN | 9781475736151 |
| Language | EN |
| References cited | 38 |
Econometrics · Ergodicity · Nonlinear system · Physics · Statistical physics · Statistics · Stochastic process · Complex Systems and Time Series Analysis · Engineering · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Applied Mathematics · Geology
Asymptotic theory for econometricians
An Introduction to Long‐memory Time Series Models and Fractional Differencing
Long-Term Storage Capacity of Reservoirs
Stock Market Prices Do Not Follow Random Walks
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models
Segmented Trends and Non-Stationary Time Series
| Citation velocity | historical |
|---|---|
| Highly cited | No |