The following pages link to Long memory and regime switching (Q5952029):
Displayed 50 items.
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation (Q2219432) (← links)
- Impossible inference in econometrics: theory and applications (Q2227046) (← links)
- Not all estimators are born equal: the empirical properties of some estimators of long memory (Q2227406) (← links)
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory (Q2232753) (← links)
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
- Learning can generate long memory (Q2294508) (← links)
- Change-in-mean tests in long-memory time series: a review of recent developments (Q2324321) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- Long memory, fractional integration, and cross-sectional aggregation (Q2397718) (← links)
- Modeling tick-by-tick realized correlations (Q2445693) (← links)
- Quasi-maximum likelihood estimation for multiple volatility shifts (Q2452776) (← links)
- A CUSUM test for a long memory heterogeneous autoregressive model (Q2453037) (← links)
- Forecasting a long memory process subject to structural breaks (Q2453079) (← links)
- A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090) (← links)
- The increment ratio statistic (Q2476149) (← links)
- On discriminating between long-range dependence and changes in mean (Q2500449) (← links)
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation (Q2509807) (← links)
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800) (← links)
- A piecewise polynomial trend against long range dependence (Q2515861) (← links)
- Strategic long-term financial risks: single risk factors (Q2574059) (← links)
- Nonlinearity and temporal dependence (Q2630203) (← links)
- Estimation methods for the LRD parameter under a change in the mean (Q2633430) (← links)
- Rescaled range analysis in the presence of stochastic trend (Q2643023) (← links)
- On the equality of real interest rates across borders in integrated capital markets (Q2644310) (← links)
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
- Heterogeneous expectations and long-range correlation of the volatility of asset returns (Q2866365) (← links)
- A Self-Normalized Central Limit Theorem for Markov Random Walks (Q2898915) (← links)
- Statistical tests for a single change in mean against long-range dependence (Q2930908) (← links)
- A FIXED-<i>b</i>TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION (Q2933189) (← links)
- (Q2971501) (← links)
- Theory and inference for a Markov switching GARCH model (Q3004023) (← links)
- Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model (Q3019209) (← links)
- On the forecasting ability of ARFIMA models when infrequent breaks occur (Q3023032) (← links)
- Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components (Q3065547) (← links)
- Local Whittle estimation of the memory parameter in presence of deterministic components (Q3077674) (← links)
- Unstable volatility: the break-preserving local linear estimator (Q3145404) (← links)
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models (Q3161675) (← links)
- On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study (Q3378027) (← links)
- On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise (Q3410924) (← links)
- Bayesian methods for change-point detection in long-range dependent processes (Q3440773) (← links)
- MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES (Q3450343) (← links)
- Wavelet-domain test for long-range dependence in the presence of a trend (Q3525835) (← links)
- Realized Volatility: A Review (Q3539862) (← links)
- The Volatility of Realized Volatility (Q3539863) (← links)
- Why Aggregate Long Memory Time Series? (Q3539877) (← links)
- APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL (Q3583032) (← links)
- Fractional integration and structural breaks at unknown periods of time (Q3608192) (← links)
- An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes (Q3616259) (← links)
- LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL (Q3618923) (← links)
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models (Q3625281) (← links)