Log-periodogram regression of time series with long range dependence
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Publication:1906201
DOI10.1214/AOS/1176324636zbMATH Open0838.62085OpenAlexW2063827883MaRDI QIDQ1906201FDOQ1906201
Recommendations
- Broadband log-periodogram regression of time series with long-range dependence
- Filtered log-periodogram regression of long memory processes
- Residual log-periodogram inference for long-run relationships
- Time series regression with long-range dependence
- Log-periodogram regression in asymmetric long memory.
- Non-stationary log-periodogram regression
Cited in
(only showing first 100 items - show all)- VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
- Long memory versus structural breaks: an overview
- Definitions and representations of multivariate long-range dependent time series
- Asymptotics for duration-driven long range dependent processes
- Estimation of fractional integration under temporal aggregation
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Local Whittle estimation of fractional integration and some of its variants
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- Exact local Whittle estimation of fractional integration
- Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices
- Estimation of mis-specified long memory models
- Aggregation and memory of models of changing volatility
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Nonlinear log-periodogram regression for perturbed fractional processes
- The detection and estimation of long memory in stochastic volatility
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- The averaged periodogram estimator for a power law in coherency
- Estimators of long-memory: Fourier versus wavelets
- Long memory and regime switching
- Root-\(n\)-consistent estimation of weak fractional cointegration
- Filtered log-periodogram regression of long memory processes
- Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
- Log-periodogram regression in asymmetric long memory.
- Determination of cointegrating rank in fractional systems.
- Weak convergence of multivariate fractional processes
- Semiparametric estimation of spatial long-range dependence
- Broadband log-periodogram regression of time series with long-range dependence
- Change-point detection with rank statistics in long-memory time-series models
- Change-in-mean problem for long memory time series models with applications
- A semiparametric two-step estimator in a multivariate long memory model
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Multivariate wavelet Whittle estimation in long-range dependence
- Regression with slowly varying regressors and nonlinear trends
- Gaussian inference on certain long-range dependent volatility models
- Distribution free goodness-of-fit tests for linear processes
- On asymptotic distributions of weighted sums of periodograms
- Robust estimation in long-memory processes under additive outliers
- Nonlinearity and temporal dependence
- A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
- Contemporaneous aggregation of linear dynamic models in large economies
- Modelling structural breaks, long memory and stock market volatility: an overview
- Testing for structural change in regression with long memory processes
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- An alternative bootstrap to moving blocks for time series regression models
- Averaged periodogram estimation of long memory
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- A review of empirical likelihood methods for time series
- Estimation of fractional integration in the presence of data noise
- The estimation of misspecified long memory models
- Semi-parametric smoothing estimators for long-memory processes with added noise
- Unit root log periodogram regression
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- Tail index estimation in the presence of long-memory dynamics
- Nonstationarity-extended local Whittle estimation
- Multivariate Stochastic Volatility: A Review
- Semiparametric fractional cointegration analysis
- An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
- Local Whittle estimation of multi-variate fractionally integrated processes
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- The memory of stochastic volatility models
- Out of sample forecasts of quadratic variation
- A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
- Long memory continuous time models
- A bootstrap causality test for covariance stationary processes
- Non-stationary log-periodogram regression
- The distance between rival nonstationary fractional processes
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Semiparametric inference in multivariate fractionally cointegrated systems
- Variance-type estimation of long memory
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Estimation methods for stationary Gegenbauer processes
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Residual log-periodogram inference for long-run relationships
- Bootstrap specification tests for linear covariance stationary processes
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Estimation of long-range dependence in gappy Gaussian time series
- A comparison of techniques of estimation in long-memory processes.
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Why Aggregate Long Memory Time Series?
- A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
- The FEXP estimator for potentially non-stationary linear time series.
- On the effect of seasonal adjustment on the log-periodogram regression
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes
- Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Fractional differencing in discrete time
- Specification testing for regression models with dependent data
- Breaks and persistency: macroeconomic causes of stock market volatility
- Time varying long memory parameter estimation for locally stationary long memory processes
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
- BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
- Moment bounds and central limit theorem for functions of Gaussian vectors
- An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic
- Bootstrap testing for discontinuities under long-range dependence
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- Semiparametric estimation in perturbed long memory series
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