The following pages link to Long memory and regime switching (Q5952029):
Displayed 33 items.
- 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)
- A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data (Q5863644) (← links)