Memory and infrequent breaks

DOI10.1016/S0165-1765(00)00346-3zbMATH Open0968.91036WikidataQ56602076 ScholiaQ56602076MaRDI QIDQ1589599FDOQ1589599

Authors: Christian Gouriéroux, J. Jasiak 

Publication date: 12 December 2000

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

long memoryheavy tailswitching regime

Mathematics Subject Classification ID

Memory and learning in psychology (91E40)

Cites Work

• Heavy tails and long range dependence in on/off processes and associated fluid models
• A simple nonlinear time series model with misleading linear properties
• Title not available (Why is that?)
• A class of micropulses and antipersistent fractional Brownian motion

Cited In (19)

• 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
• TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
• 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
• First‐Order Autoregressive Processes with Heterogeneous Persistence
• On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
• 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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