CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY (Q3181946): Difference between revisions

@@ Property / describes a project that uses @@
+FinTS
@@ Property / describes a project that uses: FinTS / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+math/0601742
@@ Property / arXiv ID: math/0601742 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4133656
@@ Property / cites work: Q4133656 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Long Memory in Volatility
@@ Property / cites work: Estimating Long Memory in Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+On the existence of some ARCH\((\infty)\)processes
+Normal rank
@@ Property / cites work @@
+Properties of nonlinear transformations of fractionally integrated processes.
+Normal rank
@@ Property / cites work @@
+Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
+Normal rank
@@ Property / cites work @@
+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Point Processes
@@ Property / cites work: An Introduction to the Theory of Point Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Long-range dependent point processes and their Palm-Khinchin distributions
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
+Normal rank
@@ Property / cites work @@
+Moment bounds for stationary mixing sequences
@@ Property / cites work: Moment bounds for stationary mixing sequences / rank @@
+Normal rank
@@ Property / cites work @@
+LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES
+Normal rank
@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Martingale Transforms
@@ Property / cites work: Martingale Transforms / rank @@
+Normal rank
@@ Property / cites work @@
+The Price Variability-Volume Relationship on Speculative Markets
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Basic properties of strong mixing conditions. A survey and some open questions
+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN  ESTIMATING THE MEMORY PARAMETER OF LEVELS
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
+Normal rank
@@ Property / cites work @@
+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
+Normal rank
@@ Property / cites work @@
+Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
+Normal rank
@@ Property / cites work @@
+Equivalence of functional limit theorems for stationary point processes and their Palm distributions
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+The Equivalence of Functional Central Limit Theorems for Counting Processes and Associated Partial Sums
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / OpenAlex ID @@
+W3124487190
@@ Property / OpenAlex ID: W3124487190 / rank @@
+Normal rank