Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150): Difference between revisions

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+Nonstationarity-extended local Whittle estimation
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+The Distribution of Realized Exchange Rate Volatility
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Generating schemes for long memory processes: regimes, aggregation and linearity
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+Long memory and regime switching
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+Long memory relationships and the aggregation of dynamic models
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+Varieties of long memory models
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Fractional differencing
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+A FAST FRACTIONAL DIFFERENCE ALGORITHM
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+Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
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+Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
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+The Cusum Test with Ols Residuals
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+Long memory versus structural breaks: an overview
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