Semiparametric analysis of long-memory time series
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autocorrelation-consistent standard errorscointegrationconsistency propertiesdiscretely averaged periodogramgeneralized least squares estimatesleast squares estimates of polynomial regressionlong- memory errorslong-memory covariance stationary time seriesregular variationscale factorsemiparametric statistical inferencestandard errorsunknown self-similarity parameter
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Cited in
(only showing first 100 items - show all)- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- A test for fractional cointegration using the sieve bootstrap
- Multivariate modelling of long memory processes with common components
- Memory properties and aggregation of spatial autoregressive models
- Memory parameter estimation for long range dependent random fields
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Optimal spectral kernel for long-range dependent time series
- Regression model fitting with long memory errors
- Non-parametric estimation of the long-range dependence exponent for Gaussian processes
- Central limit theorem for the empirical process of a linear sequence with long memory
- Rates of convergence and optimal spectral bandwidth for long range dependence
- Semiparametric estimation from time series with long-range dependence
- Change-in-mean problem for long memory time series models with applications
- Note on convergence rates of semiparametric estimators of dependence index
- Gaussian inference on certain long-range dependent volatility models
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Estimating fractional cointegration in the presence of polynomial trends
- A semiparametric two-step estimator in a multivariate long memory model
- Multivariate wavelet Whittle estimation in long-range dependence
- An improvement of the GPH estimator.
- Perpetual learning and apparent long memory
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Multiscale fluctuation features of the dynamic correlation between bivariate time series
- Whittle estimator for finite-variance non-Gaussian time series with long memory
- Determination of cointegrating rank in fractional systems.
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Higher-order kernel semiparametric M-estimation of long memory
- Asymptotics of empirical processes of long memory moving averages with infinite variance.
- Semiparametric estimation of the long-range parameter
- Testing for structural change in a long-memory environment
- Semiparametric exploration of long memory in stock prices
- Long memory processes and fractional integration in econometrics
- Averaged periodogram estimation of long memory
- Frequency domain bootstrap for the fractional cointegration regression
- Estimation of the dependence parameter in linear regression with long-range-dependent errors
- A comparison of semiparametric tests for fractional cointegration
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- On a class of estimation and test for long memory
- Power-law cross-correlations estimation under heavy tails
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- Estimation of long-range dependence in gappy Gaussian time series
- Semiparametric estimation of fractional cointegrating subspaces
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- Semiparametric estimation of spatial long-range dependence
- Semiparametric analysis of long-range dependence in nonlinear regression
- The estimation of misspecified long memory models
- The aggregation of dynamic relationships caused by incomplete information
- On Koul's minimum distance estimators in the regression models with long memory moving averages.
- Local empirical spectral measure of multivariate processes with long range dependence.
- Modelling structural breaks, long memory and stock market volatility: an overview
- Cointegration in fractional systems with deterministic trends
- Residual log-periodogram inference for long-run relationships
- Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
- Semiparametric inference in seasonal and cyclical long memory processes
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- Bayesian semiparametric inference on long-range dependence
- The k-factor GARMA process with infinite variance innovations
- Change-point detection with rank statistics in long-memory time-series models
- Why FARIMA models are brittle
- A theory of robust long-run variance estimation
- Diagnostic testing for cointegration
- Predicting volatility: getting the most out of return data sampled at different frequencies
- The averaged periodogram estimator for a power law in coherency
- Definitions and representations of multivariate long-range dependent time series
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
- The Tests of Robinson in the Context of AR(1) Disturbances
- More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
- ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA
- UNBALANCED COINTEGRATION
- Parameter Estimation of Self-Similar Spatial Covariogram Models
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- Distinguishing short and long memory volatility specifications
- Estimation of time varying skewness and kurtosis with an application to value at risk
- Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Wilcoxon-Signed Rank Test for Long Memory Sequences
- STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO-STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- Empirical Performance and Asset Pricing in Hidden Markov Models
- Root-\(n\)-consistent estimation of weak fractional cointegration
- Kernel type smoothed quantile estimation under long memory
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
- Wavelet estimation of the memory parameter for long range dependent random fields
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- Affine fractional stochastic volatility models
- Estimation spectrale avec mémoire longue et hétéroscédasticité conditionnelle
- GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Semiparametric inference in correlated long memory signal plus noise models
- scientific article; zbMATH DE number 7578267 (Why is no real title available?)
- Long-range dependent curve time series
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Special Issue of the \textit{Journal of Time Series Analysis} in honour of the 35th anniversary of the publication of Geweke and Porter-Hudak (1983): guest editors' introduction
- A self-normalized semi-parametric test to detect changes in the long memory parameter
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