The following pages link to Long memory and regime switching (Q5952029):
Displaying 50 items.
- A simple test on structural change in long-memory time series (Q135940) (← links)
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study (Q257526) (← links)
- 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)
- The past and future of empirical finance: some personal comments (Q265100) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Cointegration in fractional systems with deterministic trends (Q265117) (← links)
- Renewal regime switching and stable limit laws (Q265118) (← links)
- Robust econometric inference with mixed integrated and mildly explosive regressors (Q281052) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- A regime switching long memory model for electricity prices (Q291856) (← 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)
- Time series properties of ARCH processes with persistent covariates (Q299219) (← 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)
- On consistency of minimum description length model selection for piecewise autoregressions (Q308393) (← links)
- Federal regulation and aggregate economic growth (Q372218) (← links)
- Fractional integration versus level shifts: the case of realized asset correlations (Q379926) (← links)
- On the origin of high persistence in GARCH-models (Q429135) (← links)
- Adaptive dynamic Nelson-Siegel term structure model with applications (Q469578) (← links)
- Level changes in volatility models (Q470520) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Persistence-robust surplus-lag Granger causality testing (Q528008) (← links)
- The increment ratio statistic under deterministic trends (Q616536) (← links)
- Can Markov switching model generate long memory? (Q741329) (← links)
- Deterministic versus stochastic seasonal fractional integration and structural breaks (Q746213) (← 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)
- Long memory affine term structure models (Q898585) (← 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 with stochastic variance model: a recursive analysis for US inflation (Q1623516) (← links)
- Volatility and return jumps in Bitcoin (Q1627021) (← links)
- Simultaneous confidence bands for expectile functions (Q1633261) (← links)
- Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
- Horizon effect in the term structure of long-run risk-return trade-offs (Q1659133) (← links)
- A modified test against spurious long memory (Q1663949) (← links)
- A test of the long memory hypothesis based on self-similarity (Q1695666) (← links)
- Testing for a change in mean under fractional integration (Q1695680) (← links)
- Long memory and changepoint models: a spectral classification procedure (Q1702010) (← links)
- A multivariate test against spurious long memory (Q1706443) (← links)
- Generating univariate fractional integration within a large VAR(1) (Q1745615) (← links)
