Long memory and regime switching
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Cites work
- A class of micropulses and antipersistent fractional Brownian motion
- A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A simple nonlinear time series model with misleading linear properties
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- Discrimination between monotonic trends and long-range dependence
- scientific article; zbMATH DE number 4100386 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Log-periodogram regression of time series with long range dependence
- Long memory in continuous-time stochastic volatility models
- Long memory processes and fractional integration in econometrics
- Long memory relationships and the aggregation of dynamic models
- Modeling long memory in stock market volatility
- Moments of Markov switching models
- Nonlinearity and temporal dependence
- On defining long-range dependence
- Semiparametric analysis of long-memory time series
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
- Testing for structural change in a long-memory environment
- The Distribution of Realized Exchange Rate Volatility
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The Hurst effect under trends
- Threshold Cointegration
Cited in
(only showing first 100 items - show all)- On parameter estimation for locally stationary long-memory processes
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
- Estimation of fractional integration in the presence of data noise
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- A simple test on structural change in long-memory time series
- Strong rules for detecting the number of breaks in a time series
- Long memory and stochastic trend.
- Modeling long memory in stock market volatility
- Memory and infrequent breaks
- Structural breaks and fractional integration in the US output and unemployment rate.
- Long memory with stochastic variance model: a recursive analysis for US inflation
- Volatility and return jumps in Bitcoin
- Simultaneous confidence bands for expectile functions
- Shifts in volatility driven by large stock market shocks
- Horizon effect in the term structure of long-run risk-return trade-offs
- A modified test against spurious long memory
- A test of the long memory hypothesis based on self-similarity
- Testing for a change in mean under fractional integration
- Long memory and changepoint models: a spectral classification procedure
- A multivariate test against spurious long memory
- Generating univariate fractional integration within a large VAR(1)
- Long memory versus structural breaks: an overview
- A mean shift break in the US interest rate.
- Properties of nonlinear transformations of fractionally integrated processes.
- A nonlinear long memory model, with an application to US unemployment.
- Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Long-memory property of nonlinear transformations of break processes
- Nonlinear autoregressive models and long memory
- Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
- Forecasting long memory time series when occasional breaks occur
- Long memory with Markov-switching GARCH
- Change point dynamics for financial data: an indexed Markov chain approach
- Testing for parameter instability and structural change in persistent predictive regressions
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Adaptive realized hyperbolic GARCH process: stability and estimation
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- Impossible inference in econometrics: theory and applications
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Learning can generate long memory
- Change-in-mean tests in long-memory time series: a review of recent developments
- Testing long memory based on a discretely observed process
- Long memory, fractional integration, and cross-sectional aggregation
- Modeling tick-by-tick realized correlations
- Quasi-maximum likelihood estimation for multiple volatility shifts
- A CUSUM test for a long memory heterogeneous autoregressive model
- Forecasting a long memory process subject to structural breaks
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- The increment ratio statistic
- On discriminating between long-range dependence and changes in mean
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- A piecewise polynomial trend against long range dependence
- Strategic long-term financial risks: single risk factors
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
- Nonlinearity and temporal dependence
- Estimation methods for the LRD parameter under a change in the mean
- Rescaled range analysis in the presence of stochastic trend
- On the equality of real interest rates across borders in integrated capital markets
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Modelling structural breaks, long memory and stock market volatility: an overview
- The past and future of empirical finance: some personal comments
- Neglecting parameter changes in GARCH models
- Cointegration in fractional systems with deterministic trends
- Renewal regime switching and stable limit laws
- Long memory and regime switching in the stochastic volatility modelling
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
- On the estimation of short memory components in long memory time series models
- Flexible Fourier form for volatility breaks
- Regime switching with structural breaks in output convergence
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Heterogeneous expectations and long-range correlation of the volatility of asset returns
- A self-normalized central limit theorem for Markov random walks
- Monitoring disruptions in financial markets
- A regime switching long memory model for electricity prices
- Breaks and persistency: macroeconomic causes of stock market volatility
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Statistical tests for a single change in mean against long-range dependence
- A fixed-b test for a break in level at an unknown time under fractional integration
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Time series properties of ARCH processes with persistent covariates
- Nonlinear models for strongly dependent processes with financial applications
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Theory and inference for a Markov switching GARCH model
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
- Local Whittle estimation of the memory parameter in presence of deterministic components
- On consistency of minimum description length model selection for piecewise autoregressions
- Unstable volatility: the break-preserving local linear estimator
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study
- Long memory and hysteresis
- On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
- Bayesian methods for change-point detection in long-range dependent processes
- Modeling nonstationary and leptokurtic financial time series
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