Pages that link to "Item:Q3317942"
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The following pages link to THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (Q3317942):
Displaying 50 items.
- A simple test of changes in mean in the possible presence of long-range dependence (Q135933) (← links)
- Testing for a break in persistence under long-range dependencies (Q135936) (← links)
- A semiparametric two-step estimator in a multivariate long memory model (Q145472) (← links)
- Multivariate Wavelet Whittle Estimation in Long-range Dependence (Q145476) (← links)
- Robust estimation in long-memory processes under additive outliers (Q154483) (← links)
- Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- Residual log-periodogram inference for long-run relationships (Q269403) (← links)
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
- Unit root log periodogram regression (Q277158) (← links)
- Estimation of mis-specified long memory models (Q278055) (← links)
- Asymptotics for duration-driven long range dependent processes (Q289190) (← links)
- Nonstationarity-extended local Whittle estimation (Q289222) (← links)
- Breaks and persistency: macroeconomic causes of stock market volatility (Q292011) (← 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)
- Realized volatility forecasting and option pricing (Q299252) (← links)
- Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Properties of a block bootstrap under long-range dependence (Q354205) (← links)
- Tail index estimation in the presence of long-memory dynamics (Q425381) (← links)
- Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process (Q447843) (← links)
- Asymptotic behaviour of the LS estimator in a nonlinear model with long memory (Q458114) (← links)
- Affine fractional stochastic volatility models (Q470522) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- An accurate algorithm to calculate the Hurst exponent of self-similar processes (Q489372) (← links)
- Memory properties of transformations of linear processes (Q523450) (← links)
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities (Q530371) (← links)
- Genetic learning as an explanation of stylized facts of foreign exchange markets (Q556409) (← links)
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← links)
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266) (← links)
- Fractional Brownian motion and long term clinical trial recruitment (Q629109) (← links)
- A long memory model with normal mixture GARCH (Q656952) (← links)
- Shaking the tree: an agency-theoretic model of asset pricing (Q665534) (← links)
- Fractional integration and the volatility of UK interest rates (Q694912) (← links)
- Bayesian estimation and the application of long memory stochastic volatility models (Q713736) (← links)
- Filtered log-periodogram regression of long memory processes (Q715791) (← links)
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
- Estimation of fractional integration under temporal aggregation (Q737901) (← links)
- Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
- Can Markov switching model generate long memory? (Q741329) (← links)
- Detecting fuzzy periodic patterns in futures spreads (Q744771) (← links)
- An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic (Q764492) (← links)
- Bootstrap testing for discontinuities under long-range dependence (Q764501) (← links)
- Analysis of complex time series based on EMD energy entropy plane (Q783487) (← links)
- A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses (Q815480) (← links)
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach (Q826961) (← links)
- Realized volatility of index constituent stocks in Hong Kong (Q834300) (← links)
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes (Q840964) (← links)
- Testing for long memory in the Asian foreign exchange rates (Q863018) (← links)
