Pages that link to "Item:Q1155319"
From MaRDI portal
The following pages link to Long memory relationships and the aggregation of dynamic models (Q1155319):
Displaying 50 items.
- Generating schemes for long memory processes: regimes, aggregation and linearity (Q265026) (← links)
- Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Renewal regime switching and stable limit laws (Q265118) (← links)
- Aggregation and memory of models of changing volatility (Q278251) (← links)
- Testing for unit root processes in random coefficient autoregressive models (Q290982) (← links)
- Breaks and persistency: macroeconomic causes of stock market volatility (Q292011) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (Q292039) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Nonlinear models for strongly dependent processes with financial applications (Q299256) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes (Q312070) (← links)
- Sample size determination for group sequential test under fractional Brownian motion (Q358885) (← links)
- A new model for explaining long-range correlations in human time interval production (Q434977) (← links)
- Adaptive dynamic Nelson-Siegel term structure model with applications (Q469578) (← links)
- Estimating aggregate autoregressive processes when only macro data are available (Q485694) (← links)
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence (Q503560) (← links)
- Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations (Q517971) (← links)
- Generation of self-similar processes for simulation studies of telecommunication networks (Q596881) (← links)
- Asymptotic optimal designs under long-range dependence error structure (Q605883) (← links)
- Spurious regression (Q609686) (← links)
- Self-similarity in financial markets: a fractionally integrated approach (Q611788) (← links)
- Effect of aggregation on estimators in AR(1) sequence (Q619121) (← links)
- Option pricing under a gamma-modulated diffusion process (Q645515) (← links)
- Shaking the tree: an agency-theoretic model of asset pricing (Q665534) (← links)
- The term structure of interest rates in real and monetary economies (Q673681) (← links)
- Aggregation of isotropic autoregressive fields (Q719483) (← links)
- Aggregation of autoregressive random fields and anisotropic long-range dependence (Q726745) (← links)
- Can Markov switching model generate long memory? (Q741329) (← links)
- Statistical estimation for CAPM with long-memory dependence (Q764801) (← links)
- The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain (Q815321) (← links)
- On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration (Q831317) (← links)
- Quantifying and understanding the economics of large financial movements (Q844583) (← links)
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations (Q847911) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Joint aggregation of random-coefficient AR(1) processes with common innovations (Q893913) (← links)
- Long memory affine term structure models (Q898585) (← links)
- Herding, a-synchronous updating and heterogeneity in memory in a CBS (Q953775) (← links)
- Type I and type II fractional Brownian motions: a reconsideration (Q961404) (← links)
- Fast simulation of self-similar and correlated processes (Q991165) (← links)
- Memory properties and aggregation of spatial autoregressive models (Q1021992) (← links)
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks (Q1023866) (← links)
- On the dynamic shape of aggregated error correction models (Q1106605) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Volume, volatility, and leverage: A dynamic analysis (Q1126500) (← links)
- Spurios regression theory with nonstationary fractionally integrated processes (Q1298444) (← links)
- Aggregation of linear dynamic microeconomic models (Q1300375) (← links)
- Bayesian analysis of long memory and persistence using ARFIMA models (Q1362033) (← links)
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series (Q1371371) (← links)
