A modified test against spurious long memory
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Recommendations
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- A test against spurious long memory
- A multivariate test against spurious long memory
- A new simple test against spurious long memory using temporal aggregation
- Testing for long memory in the presence of a general trend
Cites work
- A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
- A test against spurious long memory
- Efficient Tests of Nonstationary Hypotheses
- Long memory and regime switching
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
- Testing for a break in trend when the order of integration is unknown
- True versus spurious long memory: some theoretical results and a Monte Carlo comparison
- When long memory meets the Kalman filter: a comparative study
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