Long memory processes and fractional integration in econometrics
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Cites work
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Cited in
(only showing first 100 items - show all)- Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
- Integrated functionals of normal and fractional processes
- Estimation of fractional integration in the presence of data noise
- Multivariate modelling of long memory processes with common components
- Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
- Estimating the fractionally integrated process in the presence of measurement errors
- A new estimator of the fractionally integrated stochastic volatility model
- Spurios regression theory with nonstationary fractionally integrated processes
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- The detection and estimation of long memory in stochastic volatility
- Asymptotics of M-estimators in non-linear regression with long memory designs.
- On the rate of convergence to the normal law for LSE in multivariate continuous regression model with long-range dependence stationary errors.
- Asymptotic inference for LSE in multivariate continuous regression models with long-memory random fields.
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Estimating the differencing parameter via the partial autocorrelation function
- Modeling long memory in stock market volatility
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Multiscale behaviour of volatility autocorrelations in a financial market
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Fractional randomness
- The effect of additive outliers on a fractional unit root test
- Long memory with stochastic variance model: a recursive analysis for US inflation
- Fractionally differenced Gegenbauer processes with long memory: a review
- Bernoulli wavelet operational matrix of fractional order integration and its applications in solving the fractional order differential equations
- Perpetual learning and apparent long memory
- Managing risk with a realized copula parameter
- Horizon effect in the term structure of long-run risk-return trade-offs
- A numerical method based on fully discrete direct discontinuous Galerkin method for the time fractional diffusion equation
- Sinc-Galerkin technique for the numerical solution of fractional Volterra-Fredholm integro-differential equations with weakly singular kernels
- New numerical approach for fractional variational problems using shifted Legendre orthonormal polynomials
- Logistic map with memory from economic model
- Identification and validation of stable ARFIMA processes with application to UMTS data
- How close is a fractional process to a random walk with drift?
- Numerical solution of 1D and 2D fractional optimal control of system via Bernoulli polynomials
- Simultaneous quantile inference for non-stationary long-memory time series
- Stability analysis for a fractional HIV infection model with nonlinear incidence
- Oscillation behavior for a class of differential equation with fractional-order derivatives
- Wavelets method for solving fractional optimal control problems
- An approximate solution based on Jacobi polynomials for time-fractional convection-diffusion equation
- Numerical solution of linear/nonlinear fractional order differential equations using Jacobi operational matrix
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- Fractional dynamic behavior in ethanol prices series
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- Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
- The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
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- A mean shift break in the US interest rate.
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- A fractional multivariate long memory model for the US and the Canadian real output
- The scaling function-based estimator of long memory in the presence of a short-term component
- The impulse response function of the long memory GARCH process
- Goodness-of-fit tests for long memory moving average marginal density
- On simulation of optimal strategies and Nash equilibrium in the financial market context
- The spurious regression of fractionally integrated processes
- An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
- Martingales, nonlinearity, and chaos
- Long memory story of the real interest rate
- Multi-domain spectral collocation method for variable-order nonlinear fractional differential equations
- Hybrid rational Haar wavelet and block pulse functions method for solving population growth model and Abel integral equations
- Numerical approach based on fractional-order Lagrange polynomials for solving a class of fractional differential equations
- Compact difference scheme for a class of fractional-in-space nonlinear damped wave equations in two space dimensions
- High-frequency trading with fractional Brownian motion
- Comparing the marginal densities of two strictly stationary linear processes
- Legendre wavelet method for fractional delay differential equations
- Fractional-order Boubaker wavelets method for solving fractional Riccati differential equations
- Bernoulli wavelet method for numerical solution of anomalous infiltration and diffusion modeling by nonlinear fractional differential equations of variable order
- Order flow in the financial markets from the perspective of the fractional Lévy stable motion
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
- Optimal long-term investment in illiquid markets when prices have negative memory
- Option pricing under the subordinated market models
- An operational matrix based on the independence polynomial of a complete bipartite graph for the Caputo fractional derivative
- Existence theory to a class of boundary value problems of hybrid fractional sequential integro-differential equations
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Application of new iterative method to fractional order integro-differential equations
- On establishing qualitative theory to nonlinear boundary value problem of fractional differential equations
- Testing of fractional Brownian motion in a noisy environment
- Green-Haar wavelets method for generalized fractional differential equations
- A minimal search method for solving fractional integro-differential equations based on modified Legendre multiwavelets
- Long versus short time scales: the rough dilemma and beyond
- An efficient numerical scheme to solve fractional diffusion-wave and fractional Klein-Gordon equations in fluid mechanics
- On a class of estimation and test for long memory
- Quasi-projective synchronization of fractional order chaotic systems under input saturation
- Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
- Dynamic analysis of a harvested fractional-order biological system with its discretization
- Existence of solutions for nonlinear fractional order \(p\)-Laplacian differential equations via critical point theory
- Issues in the estimation of mis-specified models of fractionally integrated processes
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