The following pages link to Long memory and regime switching (Q5952029):
Displayed 50 items.
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- On consistency of minimum description length model selection for piecewise autoregressions (Q308393) (← links)
- Federal regulation and aggregate economic growth (Q372218) (← links)
- Fractional integration versus level shifts: the case of realized asset correlations (Q379926) (← links)
- On the origin of high persistence in GARCH-models (Q429135) (← links)
- Adaptive dynamic Nelson-Siegel term structure model with applications (Q469578) (← links)
- Level changes in volatility models (Q470520) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Persistence-robust surplus-lag Granger causality testing (Q528008) (← links)
- The increment ratio statistic under deterministic trends (Q616536) (← links)
- Can Markov switching model generate long memory? (Q741329) (← links)
- Deterministic versus stochastic seasonal fractional integration and structural breaks (Q746213) (← links)
- Bootstrap testing for discontinuities under long-range dependence (Q764501) (← links)
- The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain (Q815321) (← links)
- Long memory affine term structure models (Q898585) (← links)
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) (Q928150) (← links)
- Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise (Q994199) (← links)
- On parameter estimation for locally stationary long-memory processes (Q1007468) (← links)
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching (Q1017067) (← links)
- Estimation of fractional integration in the presence of data noise (Q1019941) (← links)
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks (Q1023866) (← links)
- Strong rules for detecting the number of breaks in a time series (Q1414624) (← links)
- Long memory and stochastic trend. (Q1424482) (← links)
- Structural breaks and fractional integration in the US output and unemployment rate. (Q1614820) (← links)
- Long memory with stochastic variance model: a recursive analysis for US inflation (Q1623516) (← links)
- Volatility and return jumps in Bitcoin (Q1627021) (← links)
- Simultaneous confidence bands for expectile functions (Q1633261) (← links)
- Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
- Horizon effect in the term structure of long-run risk-return trade-offs (Q1659133) (← links)
- A modified test against spurious long memory (Q1663949) (← links)
- A test of the long memory hypothesis based on self-similarity (Q1695666) (← links)
- Testing for a change in mean under fractional integration (Q1695680) (← links)
- Long memory and changepoint models: a spectral classification procedure (Q1702010) (← links)
- A multivariate test against spurious long memory (Q1706443) (← links)
- Generating univariate fractional integration within a large VAR(1) (Q1745615) (← links)
- Long memory versus structural breaks: an overview (Q1762969) (← links)
- A mean shift break in the US interest rate. (Q1852937) (← links)
- Properties of nonlinear transformations of fractionally integrated processes. (Q1858966) (← links)
- A nonlinear long memory model, with an application to US unemployment. (Q1858967) (← links)
- Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000 (Q1863673) (← links)
- Long memory and nonlinearities in realized volatility: a Markov switching approach (Q1927150) (← links)
- Long-memory property of nonlinear transformations of break processes (Q1927845) (← links)
- Nonlinear autoregressive models and long memory (Q1929116) (← links)
- Estimating long memory: scaling function vs. Andrews and Guggenberger GPH (Q1934059) (← links)
- Forecasting long memory time series when occasional breaks occur (Q1934693) (← links)
- Long memory with Markov-switching GARCH (Q1934779) (← links)
- Change point dynamics for financial data: an indexed Markov chain approach (Q2000694) (← links)
- Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Adaptive realized hyperbolic GARCH process: stability and estimation (Q2138236) (← links)