Infinite-order, long-memory heterogeneous autoregressive models (Q1623535): Difference between revisions

@@ Property / DOI @@
-.1016/j.csda.2013.08.009
@@ Property / DOI: 10.1016/j.csda.2013.08.009 / rank @@
-Normal rank
@@ Property / cites work @@
+WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
+Normal rank
@@ Property / cites work @@
+Modelling and forecasting noisy realized volatility
+Normal rank
@@ Property / cites work @@
+Consistent autoregressive spectral estimates
@@ Property / cites work: Consistent autoregressive spectral estimates / rank @@
+Normal rank
@@ Property / cites work @@
+The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
+Normal rank
@@ Property / cites work @@
+The Volatility of Realized Volatility
@@ Property / cites work: The Volatility of Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+A new weak dependence condition and applications to moment inequalities
+Normal rank
@@ Property / cites work @@
+Predicting volatility: getting the most out of return data sampled at different frequencies
+Normal rank
@@ Property / cites work @@
+The Model Confidence Set
@@ Property / cites work: The Model Confidence Set / rank @@
+Normal rank
@@ Property / cites work @@
+The Benefits of Bagging for Forecast Models of Realized Volatility
+Normal rank
@@ Property / cites work @@
+Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence
+Normal rank
@@ Property / cites work @@
+On same-realization prediction in an infinite-order autoregressive process.
+Normal rank
@@ Property / cites work @@
+AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
+Normal rank
@@ Property / cites work @@
+A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
+Normal rank
@@ Property / cites work @@
+Some mixing properties of time series models
@@ Property / cites work: Some mixing properties of time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
+Normal rank
@@ Property / cites work @@
+Long memory and nonlinearities in realized volatility: a Markov switching approach
+Normal rank
@@ Property / DOI @@
+.1016/J.CSDA.2013.08.009
@@ Property / DOI: 10.1016/J.CSDA.2013.08.009 / rank @@
+Normal rank