Testing unit roots and long range dependence of foreign exchange
From MaRDI portal
Publication:2851988
DOI10.1111/j.1467-9892.2011.00720.xzbMath1273.62194OpenAlexW1921771961MaRDI QIDQ2851988
Publication date: 4 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00505117/file/10059.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: hypothesis testing (62M02)
Cites Work
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- A generalized fractionally differencing approach in long-memory modeling
- Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
- Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
- LONG MEMORY TESTING IN THE TIME DOMAIN
- HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ON GENERALIZED FRACTIONAL PROCESSES
- ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
- Efficient Tests of Nonstationary Hypotheses
- Evaluation of robinson's (1994) Tests in finite samples
- Efficient Wald Tests for Fractional Unit Roots