A modified test against spurious long memory (Q1663949): Difference between revisions

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+W1082768541
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+Long memory and regime switching
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+When long memory meets the Kalman filter: a comparative study
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+Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
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+Testing for a break in trend when the order of integration is unknown
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+True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
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+MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
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+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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+A Test Against Spurious Long Memory
@@ Property / cites work: A Test Against Spurious Long Memory / rank @@
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+A stochastic volatility model with random level shifts and its applications to S&amp;P 500 and NASDAQ return indices
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+Efficient Tests of Nonstationary Hypotheses
@@ Property / cites work: Efficient Tests of Nonstationary Hypotheses / rank @@
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+Publication:1663949