Random coefficient autoregression, regime switching and long memory
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- scientific article; zbMATH DE number 6413911
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Cites work
- scientific article; zbMATH DE number 3969824 (Why is no real title available?)
- scientific article; zbMATH DE number 3504209 (Why is no real title available?)
- scientific article; zbMATH DE number 3609018 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- A model for long memory conditional heteroscedasticity.
- A new autoregressive time series model in exponential variables (NEAR(1))
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Long memory and regime switching
- Long memory and stochastic trend.
- Long memory relationships and the aggregation of dynamic models
- Memory and infrequent breaks
- Modeling long memory in stock market volatility
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Random coefficient autoregressive models: an introduction
- SOME DOUBLY STOCHASTIC TIME SERIES MODELS
- STATIONARITY OF THE SOLUTION OF Xt= AtXt-1+ εtAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
- Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
- Stable limits of empirical processes of moving averages with infinite variance.
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
Cited in
(28)- Recent developments in volatility modeling and applications
- Renewal regime switching and stable limit laws
- Asymptotics for duration-driven long range dependent processes
- Discrete-time trawl processes
- On the origin of high persistence in GARCH-models
- Random coefficient volatility models
- Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
- Properties of a new family of volatility sign models
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
- RCA model with quadratic GARCH innovation distribution
- Doubly stochastic models with GARCH innovations
- Random coefficient GARCH models
- Divergent perpetuities modulated by regime switches
- RCA models with GARCH innovations
- Mellin's transform and application to some time series models
- Intermittency and multiscaling in limit theorems
- Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
- Almost sure growth of integrated supOU processes
- Anisotropic scaling limits of long-range dependent random fields
- (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
- On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
- Stable limits of sums of bounded functions of long memory moving averages with finite variance
- Combining estimating functions for volatility
- Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
- Modelling structural breaks, long memory and stock market volatility: an overview
- RCA models with correlated errors
- A new RCAR(1) model based on explanatory variables and observations
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
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