An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0Asymptotic expansion, Autocovariance function, Fourier integral, Long memory, Long run variance, Spectral density

Chang Sik Kim

Peter C.B. Phillips

English

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http://cowles.econ.yale.edu/P/cd/d16a/d1611.pdf

Long Run Covariance Matrices for Fractionally Integrated Processes

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Research Papers in Economics