Fractional integration versus level shifts: the case of realized asset correlations
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- A test against spurious long memory
- A trend-resistant test for structural change based on OLS residuals
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Efficient Tests of Nonstationary Hypotheses
- Estimating and Testing Linear Models with Multiple Structural Changes
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- How can we Define the Concept of Long Memory? An Econometric Survey
- Likelihood inference for discriminating between long-memory and change-point models
- Long memory and regime switching
- Long memory processes and fractional integration in econometrics
- Long memory versus structural breaks: an overview
- Long memory vs. structural change in financial time series
- Modeling and Forecasting Realized Volatility
- Modeling tick-by-tick realized correlations
- Multivariate modelling of long memory processes with common components
- On discriminating between long-range dependence and changes in mean
- Testing and dating of structural changes in practice
- Testing for Structural Change in Dynamic Models
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Tests of bias in log-periodogram regression
- The Cusum Test with Ols Residuals
Cited in
(6)- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Nearest neighbors estimation for long memory functional data
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Sequential monitoring of portfolio betas
- Lack of fit test for long memory regression models
- Long memory and changepoint models: a spectral classification procedure
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