Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
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Publication:3604092
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Cites work
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- scientific article; zbMATH DE number 3037359 (Why is no real title available?)
- scientific article; zbMATH DE number 3070807 (Why is no real title available?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Approach to an irregular time series on the basis of the fractal theory
- Averaged periodogram estimation of long memory
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Efficient parameter estimation for self-similar processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Gaussian semiparametric estimation of long range dependence
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Log-periodogram regression of time series with long range dependence
- Long memory relationships and the aggregation of dynamic models
- Long-Term Memory in Stock Market Prices
- Long-range dependence in the conditional variance of stock returns
- Long-term and short-term price memory in the stock market
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- On a measure of lack of fit in time series models
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- SEMIFAR forecasts, with applications to foreign exchange rates.
- Semiparametric analysis of long-memory time series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing for a unit root in time series regression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests for Hurst effect
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Time Series Regression with a Unit Root
Cited in
(22)- Behaviour of skewness, kurtosis and normality tests in long memory data
- The \(k\)-factor GARMA process with infinite variance innovations
- Comparative evaluation of semiparametric long-memory estimators
- A Bayesian approach to estimating the long memory parameter
- On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Estimating seasonal long-memory processes: a Monte Carlo study
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- Alternative estimators of long-range dependence
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Estimation of long-memory time series models: a survey of different likelihood-based methods
- Infinite variance stable Gegenbauer ARFISMA models
- Wavelets and estimation of long memory in nonstationary models: does anything beat the exact local Whittle estimator?
- Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
- On a class of estimation and test for long memory
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes
- Comparison of non-parametric and semi-parametric tests in detecting long memory
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
- A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of southeast Europe
- Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
- Evaluating the efficiency of fractional integration parameter estimators
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