The following pages link to Long memory and regime switching (Q5952029):
Displayed 50 items.
- 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)
- The increment ratio statistic under deterministic trends (Q616536) (← links)
- Can Markov switching model generate long memory? (Q741329) (← 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)
- Modeling tick-by-tick realized correlations (Q2445693) (← links)
- Quasi-maximum likelihood estimation for multiple volatility shifts (Q2452776) (← links)
- A CUSUM test for a long memory heterogeneous autoregressive model (Q2453037) (← links)
- Forecasting a long memory process subject to structural breaks (Q2453079) (← links)
- A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090) (← links)
- The increment ratio statistic (Q2476149) (← links)
- On discriminating between long-range dependence and changes in mean (Q2500449) (← links)
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation (Q2509807) (← links)
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800) (← links)
- A piecewise polynomial trend against long range dependence (Q2515861) (← 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)
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
- Heterogeneous expectations and long-range correlation of the volatility of asset returns (Q2866365) (← links)
- A Self-Normalized Central Limit Theorem for Markov Random Walks (Q2898915) (← links)
- Statistical tests for a single change in mean against long-range dependence (Q2930908) (← links)
- A FIXED-<i>b</i>TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION (Q2933189) (← 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)