The following pages link to Long memory and regime switching (Q5952029):
Displayed 50 items.
- 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)
- ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS (Q3632392) (← links)
- REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS (Q3632413) (← links)
- A multivariate long-memory model with structural breaks (Q3638531) (← links)
- A generalized ARFIMA process with Markov-switching fractional differencing parameter (Q3638584) (← links)
- Empirical Performance and Asset Pricing in Hidden Markov Models (Q4434427) (← links)
- Random coefficient autoregression, regime switching and long memory (Q4467509) (← links)
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429) (← links)
- Volatility is rough (Q4554473) (← links)
- Markov regime switching in mean and in fractional integration parameter (Q4607353) (← links)
- A joint test of fractional integration and structural breaks at a known period of time (Q4677037) (← links)
- TESTING CATCHING‐UP BETWEEN THE DEVELOPING COUNTRIES: “GROWTH RESISTANCE” AND SOMETIMES “GROWTH TRAGEDY” (Q4908442) (← links)
- Estimation of slowly time-varying trend function in long memory regression models (Q4960653) (← links)
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (Q4979496) (← links)
- Robust discrimination between long‐range dependence and a change in mean (Q4997686) (← links)
- Autoregressive spectral estimates under ignored changes in the mean (Q5063329) (← links)
- True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison (Q5080517) (← links)
- Estimating the Hurst parameter in financial time series via heuristic approaches (Q5123511) (← links)
- Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference (Q5129156) (← links)
- Linear and segmented trends in sea surface temperature data (Q5130268) (← links)
- Fractionally integrated GARCH model with tempered stable distribution: a simulation study (Q5138749) (← links)
- OPTION PRICING IN MARKETS WITH INFORMED TRADERS (Q5148004) (← links)
- Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
- Average run length of the long-memory autoregressive fractionally integrated moving average process of the exponential weighted moving average control chart (Q5193451) (← links)
- TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT (Q5205274) (← links)
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
- A local unit root test in mean for financial time series (Q5222373) (← links)
- Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150) (← links)
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY (Q5439973) (← links)
- Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices (Q5452739) (← links)
- How can we Define the Concept of Long Memory? An Econometric Survey (Q5466754) (← links)
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (Q5719301) (← links)
- Age-coherent extensions of the Lee–Carter model (Q5861818) (← links)