Q2971501 (Q2971501): Difference between revisions

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+Nonstationarity-extended local Whittle estimation
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+LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
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+VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
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+Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
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+Modified information criteria and selection of long memory time series models
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+The Pricing of Options and Corporate Liabilities
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+Modeling and pricing long memory in stock market volatility
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+Inference on the cointegration rank in fractionally integrated processes.
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+Cointegration tests in the presence of structural breaks
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+Forecasting with equilibrium-correction models during structural breaks
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+Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
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+Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
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+Forecasting Economic Time Series
@@ Property / cites work: Forecasting Economic Time Series / rank @@
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+Consistent estimation of the memory parameter for nonlinear time series
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+A model of fractional cointegration, and tests for cointegration using the bootstrap.
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+Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
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+THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC  INTEGRALS II
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+ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
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+Type I and type II fractional Brownian motions: a reconsideration
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+REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
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+LONG MEMORY TESTING IN THE TIME DOMAIN
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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+Long memory and regime switching
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+A Fractional Dickey-Fuller Test for Unit Roots
@@ Property / cites work: A Fractional Dickey-Fuller Test for Unit Roots / rank @@
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+Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Modelling and measuring price discovery in commodity markets
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Edgeworth expansions for semiparametric Whittle estimation of long memory.
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+A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
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+Long memory relationships and the aggregation of dynamic models
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Estimation of fractional integration in the presence of data noise
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+Dynamic Models for Volatility and Heavy Tails
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+On the power of unit root tests against fractional alternatives
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+TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
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+Fractional differencing
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+Seasonal integration and cointegration
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+Statistical analysis of cointegration vectors
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+A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
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+Likelihood inference for a nonstationary fractional autoregressive model
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+Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
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+A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
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+THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
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+HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
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+Change‐Point Estimation of Fractionally Integrated Processes
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+EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
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+Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.
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+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
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+CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
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+Efficient Wald Tests for Fractional Unit Roots
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+Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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+Aggregation in large dynamic panels
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+Small sample properties of forecasts from autoregressive models under structural breaks
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+Selection of estimation window in the presence of breaks
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+Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
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+Higher-order improvements of the sieve bootstrap for fractionally integrated processes
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+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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+Efficient Tests of Nonstationary Hypotheses
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+Semiparametric analysis of long-memory time series
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+Gaussian semiparametric estimation of long range dependence
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+Narrow-band analysis of nonstationary processes
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+NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
@@ Property / cites work: NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION / rank @@
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+Exact local Whittle estimation of fractional integration
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+Local Whittle estimation of fractional integration and some of its variants
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+The Fractional Unit Root Distribution
@@ Property / cites work: The Fractional Unit Root Distribution / rank @@
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+THE NONSTATIONARY FRACTIONAL UNIT ROOT
@@ Property / cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT / rank @@
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+Q3592366
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+A minimum distance estimator for long-memory processes
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+Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
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+Q5808925
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+Contemporaneous aggregation of linear dynamic models in large economies
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