Nonlinear models for strongly dependent processes with financial applications
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Publication:299256
DOI10.1016/J.JECONOM.2008.09.034zbMATH Open1429.62382OpenAlexW2002444277MaRDI QIDQ299256FDOQ299256
George Kapetanios, Richard T. Baillie
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.034
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (15)
- Modelling Nonlinear Relationships between Extended-Memory Variables
- Recent Advances in Estimating Nonlinear Models
- Projective Stochastic Equations and Nonlinear Long Memory
- Impulse responses of antipersistent processes
- Modified information criteria and selection of long memory time series models
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- A fractionally integrated Wishart stochastic volatility model
- Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
- On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
- A nonlinear model for long-memory conditional heteroscedasticity
- An extended exponential SEMIFAR model with application in R
- IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY
- Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
- Nonstationary dynamic models with finite dependence
- On the estimation of short memory components in long memory time series models
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