Memory and infrequent breaks

DOI10.1016/S0165-1765(00)00346-3MaRDI QIDQ1589599zbMATH OpenWikidataFDO

Authors Christian Gouriéroux, J. Jasiak

Publication date 12 December 2000

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

long memoryheavy tailswitching regime

Mathematics Subject Classification ID

Memory and learning in psychology (91E40)

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Cites work

• scientific article; zbMATH DE number 3969824 (Why is no real title available?)
• A class of micropulses and antipersistent fractional Brownian motion
• A simple nonlinear time series model with misleading linear properties
• Heavy tails and long range dependence in on/off processes and associated fluid models

Cited in

(20)

• The autocorrelation function behavior of regime switching models: an empirical approach
• Finding the relevant risk factors for asset pricing
• Simulation-based Bayesian estimation of an affine term structure model
• Renewal regime switching and stable limit laws
• Deterministic versus stochastic seasonal fractional integration and structural breaks
• Long memory and stochastic trend.
• A stochastic approach to risk management for prostate cancer patients on active surveillance
• Long memory versus structural breaks: an overview
• Analysis of shares frequency components on daily value-at-risk in emerging and developed markets
• Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
• Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
• On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
• First‐Order Autoregressive Processes with Heterogeneous Persistence
• APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
• Modelling structural breaks, long memory and stock market volatility: an overview
• The increment ratio statistic
• Heterogeneous expectations and long-range correlation of the volatility of asset returns
• On the forecasting ability of ARFIMA models when infrequent breaks occur
• Random coefficient autoregression, regime switching and long memory
• STOCHASTIC UNIT ROOT MODELS

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