Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models

DOI10.1007/s00362-014-0590-xzbMath1378.62058OpenAlexW2004042741MaRDI QIDQ2340394

Jan Beran, Yuanhua Feng, Sucharita Ghosh

Publication date: 16 April 2015

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0590-x

zbMATH Keywords

average durationsexponential ACDexponential FARIMAexponential SEMIFARlong-memory MEM modelnonparametric scale function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Nearest neighbors estimation for long memory functional data ⋮ Lack of fit test for long memory regression models

Uses Software

• longmemo
• StFinMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A family of autoregressive conditional duration models
• Fractional integration versus level shifts: the case of realized asset correlations
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
• Nonparametric regression with long-range dependence
• Limit theorem for polynomials of a linear process with long-range dependence
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• SEMIFAR forecasts, with applications to foreign exchange rates.
• Fitting time series models to nonstationary processes
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Generalized autoregressive conditional heteroscedasticity
• Properties of nonlinear transformations of fractionally integrated processes.
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
• Modeling and pricing long memory in stock market volatility
• Convergence of Appell polynomials of long range dependent moving averages in martingale differences
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• A Test Against Spurious Long Memory
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling Financial High Frequency Data Using Point Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Weak convergence to fractional brownian motion and to the rosenblatt process
• On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
• Bandwidth selection for kernel regression with long-range dependent errors
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• A Test for Normality of Observations and Regression Residuals
• Long-Memory Processes

This page was built for publication: Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models