Adaptive Inference in Heteroscedastic Fractional Time Series Models
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Cites work
- scientific article; zbMATH DE number 3151072 (Why is no real title available?)
- scientific article; zbMATH DE number 3336465 (Why is no real title available?)
- scientific article; zbMATH DE number 3346000 (Why is no real title available?)
- Adapting for heteroscedasticity in linear models
- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
- Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
- Adaptive estimation of autoregressive models with time-varying variances
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- Adaptive long memory testing under heteroskedasticity
- An exponential model for the spectrum of a scalar time series
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap procedures under some non-i.i.d. models
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Cointegrating regressions with time heterogeneity
- Corrected portmanteau tests for VAR models with time-varying variance
- EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient Tests of Nonstationary Hypotheses
- Efficient estimation of conditional variance functions in stochastic regression
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- Gaussian semiparametric estimation of long range dependence
- Inference of time-varying regression models
- Jackknife, bootstrap and other resampling methods in regression analysis
- Large sample inference for long memory processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Likelihood inference for a nonstationary fractional autoregressive model
- Likelihood-Based Local Linear Estimation of the Conditional Variance Function
- Long Range Dependence
- Long-memory processes. Probabilistic properties and statistical methods
- Maximum Likelihood Estimation of Misspecified Models
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- On spline regression under Gaussian subordination with long memory
- On the consistency of cross-validation in kernel nonparametric regression
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Regression with Nonstationary Volatility
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- The Volatility of Realized Volatility
- The asymptotic theory of linear time-series models
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Unit Root Tests under Time-Varying Variances
- Unit root testing with unstable volatility
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