Long memory and regime switching (Q5952029): Difference between revisions

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+longmemo
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+The Distribution of Realized Exchange Rate Volatility
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+Long memory processes and fractional integration in econometrics
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+Threshold Cointegration
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+Q3825928
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+Q4865042
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+The Hurst effect under trends
@@ Property / cites work: The Hurst effect under trends / rank @@
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+Nonlinearity and temporal dependence
@@ Property / cites work: Nonlinearity and temporal dependence / rank @@
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+A class of micropulses and antipersistent fractional Brownian motion
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+A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
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+Long memory in continuous-time stochastic volatility models
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+Q4343010
@@ Property / cites work: Q4343010 / rank @@
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Long memory relationships and the aggregation of dynamic models
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+A simple nonlinear time series model with misleading linear properties
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
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+On defining long-range dependence
@@ Property / cites work: On defining long-range dependence / rank @@
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+Testing for structural change in a long-memory environment
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+AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
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+Discrimination between monotonic trends and long-range dependence
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+Modeling long memory in stock market volatility
@@ Property / cites work: Modeling long memory in stock market volatility / rank @@
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+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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+Semiparametric analysis of long-memory time series
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+Log-periodogram regression of time series with long range dependence
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@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
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+Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
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+Moments of Markov switching models
@@ Property / cites work: Moments of Markov switching models / rank @@
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+https://doi.org/10.1016/s0304-4076(01)00073-2
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+W3124955081
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