Generating schemes for long memory processes: regimes, aggregation and linearity
From MaRDI portal
Publication:265026
DOI10.1016/j.jeconom.2004.08.014zbMath1335.62129OpenAlexW2163627994WikidataQ57936773 ScholiaQ57936773MaRDI QIDQ265026
F. Blanchet-Sadri, M. Dambrine
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/5220
Related Items
Renewal regime switching and stable limit laws ⋮ On nonparametric regression for bivariate circular long-memory time series ⋮ A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries ⋮ Autoregressive spectral estimates under ignored changes in the mean ⋮ Long memory, fractional integration, and cross-sectional aggregation ⋮ True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Level changes in volatility models ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ Generating univariate fractional integration within a large VAR(1) ⋮ Type I and type II fractional Brownian motions: a reconsideration ⋮ Stable limits of sums of bounded functions of long memory moving averages with finite variance ⋮ Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application ⋮ Tests of Correlation Among Wavelet-Based Estimates for Long Memory Processes ⋮ Learning can generate long memory ⋮ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models ⋮ Random coefficient autoregression, regime switching and long memory ⋮ Tests of bias in log-periodogram regression ⋮ On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise ⋮ Age-coherent extensions of the Lee–Carter model ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data ⋮ Heterogeneous expectations and long-range correlation of the volatility of asset returns
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Long memory relationships and the aggregation of dynamic models
- Estimating the dimension of a model
- Alternative forms of fractional Brownian motion
- Modeling long memory in stock market volatility
- Stable limits for partial sums of dependent random variables
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Modeling volatility persistence of speculative returns: a new approach
- THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- A test for independence based on the correlation dimension
- Linear Regression Limit Theory for Nonstationary Panel Data
- Long memory and regime switching