Nonlinear models for strongly dependent processes with financial applications
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Publication:299256
DOI10.1016/j.jeconom.2008.09.034zbMath1429.62382OpenAlexW2002444277MaRDI QIDQ299256
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (9)
Modified information criteria and selection of long memory time series models ⋮ A nonlinear model for long-memory conditional heteroscedasticity ⋮ Projective Stochastic Equations and Nonlinear Long Memory ⋮ On the estimation of short memory components in long memory time series models ⋮ 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 ⋮ Impulse responses of antipersistent processes ⋮ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models ⋮ A fractionally integrated Wishart stochastic volatility model
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