Long-range dependence effects and ARCH modeling
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Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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(21)- Monitoring the intraday volatility pattern
- Testing for parameter constancy in GARCH(p,q) models
- Near-integrated GARCH sequences
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
- Normalized least-squares estimation in time-varying ARCH models
- A recursive online algorithm for the estimation of time-varying ARCH parameters
- Detection of multiple change-points in multivariate time series
- The increment ratio statistic
- On discriminating between long-range dependence and changes in mean
- Fractional integrated GARCH diffusion limit models
- Can GARCH Models Capture Long-Range Dependence?
- The long-range dependence paradigm for macroeconomics and finance
- Extremes of alpha-ARCH models
- Stationary integrated ARCH() and AR() processes with finite variance
- Long-range memory test by the burst and inter-burst duration distribution
- Long run recursive VAR models and QR decompositions.
- Locally Stationary Multiplicative Volatility Modeling
- Mixing properties of ARCH and time-varying ARCH processes
- On-line detection of changes in the shape of intraday volatility curves
- Spurious correlation under fractional integration in output series
- Dynamic detection of change points in long time series
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