The following pages link to Long memory and regime switching (Q5952029):
Displayed 50 items.
- On the origin of high persistence in GARCH-models (Q429135) (← links)
- The increment ratio statistic under deterministic trends (Q616536) (← links)
- Bootstrap testing for discontinuities under long-range dependence (Q764501) (← links)
- The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain (Q815321) (← links)
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) (Q928150) (← links)
- Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise (Q994199) (← links)
- On parameter estimation for locally stationary long-memory processes (Q1007468) (← links)
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching (Q1017067) (← links)
- Estimation of fractional integration in the presence of data noise (Q1019941) (← links)
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks (Q1023866) (← links)
- Strong rules for detecting the number of breaks in a time series (Q1414624) (← links)
- Long memory and stochastic trend. (Q1424482) (← links)
- Structural breaks and fractional integration in the US output and unemployment rate. (Q1614820) (← links)
- Long memory versus structural breaks: an overview (Q1762969) (← links)
- A mean shift break in the US interest rate. (Q1852937) (← links)
- Properties of nonlinear transformations of fractionally integrated processes. (Q1858966) (← links)
- A nonlinear long memory model, with an application to US unemployment. (Q1858967) (← links)
- Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000 (Q1863673) (← links)
- Long memory and nonlinearities in realized volatility: a Markov switching approach (Q1927150) (← links)
- Long-memory property of nonlinear transformations of break processes (Q1927845) (← links)
- Nonlinear autoregressive models and long memory (Q1929116) (← links)
- Estimating long memory: scaling function vs. Andrews and Guggenberger GPH (Q1934059) (← links)
- Forecasting long memory time series when occasional breaks occur (Q1934693) (← links)
- Long memory with Markov-switching GARCH (Q1934779) (← links)
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
- The increment ratio statistic (Q2476149) (← links)
- On discriminating between long-range dependence and changes in mean (Q2500449) (← links)
- Strategic long-term financial risks: single risk factors (Q2574059) (← 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)
- A Self-Normalized Central Limit Theorem for Markov Random Walks (Q2898915) (← 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)
- 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)