Pages that link to "Item:Q145472"
From MaRDI portal
The following pages link to A semiparametric two-step estimator in a multivariate long memory model (Q145472):
Displaying 43 items.
- multiwave (Q29091) (← links)
- Gaussian semiparametric estimation of multivariate fractionally integrated processes (Q145474) (← links)
- Multivariate Wavelet Whittle Estimation in Long-range Dependence (Q145476) (← links)
- Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) (← links)
- Diagnostic testing for cointegration (Q291113) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Exact local Whittle estimation of fractionally cointegrated systems (Q528005) (← links)
- Semiparametric inference in multivariate fractionally cointegrated systems (Q736545) (← links)
- Multiple local Whittle estimation in stationary systems (Q955151) (← links)
- Memory properties and aggregation of spatial autoregressive models (Q1021992) (← links)
- Nonparametric frequency domain analysis of nonstationary multivariate time series (Q1400133) (← links)
- Multivariate Hadamard self-similarity: testing fractal connectivity (Q1691264) (← links)
- A multivariate test against spurious long memory (Q1706443) (← links)
- Determination of cointegrating rank in fractional systems. (Q1858915) (← links)
- Higher-order kernel semiparametric M-estimation of long memory (Q1870094) (← links)
- Adaptive semiparametric estimation of the memory parameter. (Q1975523) (← links)
- Consistent inference for predictive regressions in persistent economic systems (Q2043266) (← links)
- A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
- Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators (Q2105083) (← links)
- Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- Efficient tapered local Whittle estimation of multivariate fractional processes (Q2242857) (← links)
- Semiparametric estimation of fractional cointegrating subspaces (Q2373586) (← links)
- A simple test for the equality of integration orders (Q2439794) (← links)
- Local empirical spectral measure of multivariate processes with long range dependence. (Q2574622) (← links)
- The averaged periodogram estimator for a power law in coherency (Q2930895) (← links)
- DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES (Q2937710) (← links)
- Fully modified narrow‐band least squares estimation of weak fractional cointegration (Q3018490) (← links)
- BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION (Q3408524) (← links)
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (Q3557550) (← links)
- Maximum likelihood estimation of stationary multivariate ARFIMA processes (Q3589972) (← links)
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION (Q3632377) (← links)
- Gaussian Semi‐parametric Estimation of Fractional Cointegration (Q4828159) (← links)
- Local Whittle estimation of multi-variate fractionally integrated processes (Q4979113) (← links)
- Power-Law Cross-Correlations: Issues, Solutions and Future Challenges (Q5054200) (← links)
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS (Q5059135) (← links)
- On nonparametric density estimation for multivariate linear long-memory processes (Q5076960) (← links)
- A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes (Q5220830) (← links)
- Mallows Distance in VARFIMA(0,<i>d</i>, 0) Processes (Q5299805) (← links)
- Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence (Q5467604) (← links)
- Semiparametric fractional cointegration analysis (Q5952032) (← links)
