Nonlinear models for strongly dependent processes with financial applications
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Cites work
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- A limit theory for long-range dependence and statistical inference on related models
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- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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- Estimating the dimension of a model
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- Information criteria for selecting possibly misspecified parametric models
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Local Whittle estimation of fractional integration and some of its variants
- Long memory and regime switching
- Long memory relationships and the aggregation of dynamic models
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- Model selection in threshold models
- Modeling and Forecasting Realized Volatility
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- Unit root log periodogram regression
Cited in
(17)- Long memory estimation in a non-Gaussian bivariate process
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- A fractionally integrated Wishart stochastic volatility model
- On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
- Modified information criteria and selection of long memory time series models
- Nonlinear autoregressive models and long memory
- Modelling Nonlinear Relationships between Extended-Memory Variables
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- Nonstationary dynamic models with finite dependence
- An extended exponential SEMIFAR model with application in R
- Impulse responses of antipersistent processes
- Impulse responses of fractionally integrated processes with long memory
- A nonlinear model for long-memory conditional heteroscedasticity
- Long memory, realized volatility and heterogeneous autoregressive models
- On the estimation of short memory components in long memory time series models
- Recent Advances in Estimating Nonlinear Models
- Projective Stochastic Equations and Nonlinear Long Memory
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