Semiparametric analysis of long-memory time series
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cointegrationregular variationscale factorsemiparametric statistical inferencestandard errorsconsistency propertiesautocorrelation-consistent standard errorsdiscretely averaged periodogramgeneralized least squares estimatesleast squares estimates of polynomial regressionlong- memory errorslong-memory covariance stationary time seriesunknown self-similarity parameter
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Cited in
(only showing first 100 items - show all)- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
- Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Asymptotics of empirical processes of long memory moving averages with infinite variance.
- Modelling structural breaks, long memory and stock market volatility: an overview
- Predicting volatility: getting the most out of return data sampled at different frequencies
- GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Estimation of the dependence parameter in linear regression with long-range-dependent errors
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Testing and estimating for change in long memory parameter
- Spectral-marginal-based estimation of spatiotemporal long-range dependence
- STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO-STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Smooth estimation of error distribution in nonparametric regression under long memory
- Note on convergence rates of semiparametric estimators of dependence index
- Power-law cross-correlations estimation under heavy tails
- Semiparametric analysis of long-range dependence in nonlinear regression
- Semiparametric inference in multivariate fractionally cointegrated systems
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
- Gradual changes in long memory processes with applications
- Change-of-variance problem for linear processes with long memory
- Long memory and regime switching
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Multiple local Whittle estimation in stationary systems
- Multivariate modelling of long memory processes with common components
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
- Perpetual learning and apparent long memory
- Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
- Cointegration in fractional systems with deterministic trends
- The \(k\)-factor GARMA process with infinite variance innovations
- Residual log-periodogram inference for long-run relationships
- Regression model fitting with long memory errors
- Bootstrapping long memory tests: some Monte Carlo results
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
- Local empirical spectral measure of multivariate processes with long range dependence.
- 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
- Root-\(n\)-consistent estimation of weak fractional cointegration
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Estimation spectrale avec mémoire longue et hétéroscédasticité conditionnelle
- 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
- An improvement of the GPH estimator.
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- scientific article; zbMATH DE number 7578267 (Why is no real title available?)
- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
- Affine fractional stochastic volatility models
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- Quantifying and understanding the economics of large financial movements
- Semiparametric estimation of the long-range parameter
- Why FARIMA models are brittle
- Definitions and representations of multivariate long-range dependent time series
- Semiparametric fractional cointegration analysis
- Testing for structural change in a long-memory environment
- Wilcoxon-Signed Rank Test for Long Memory Sequences
- Averaged periodogram estimation of long memory
- Long memory processes and fractional integration in econometrics
- Filtered log-periodogram regression of long memory processes
- A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
- Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
- A theory of robust long-run variance estimation
- Diagnostic testing for cointegration
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
- Gaussian inference on certain long-range dependent volatility models
- Estimating fractional cointegration in the presence of polynomial trends
- A comparison of semiparametric tests for fractional cointegration
- Wavelet-based estimation of anisotropic spatiotemporal long-range dependence
- Optimal spectral kernel for long-range dependent time series
- Semiparametric estimation of fractional cointegrating subspaces
- 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
- Memory properties and aggregation of spatial autoregressive models
- Semiparametric inference in correlated long memory signal plus noise models
- Semiparametric estimation of spatial long-range dependence
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Semiparametric estimation from time series with long-range dependence
- The estimation of misspecified long memory models
- Non-parametric estimation of the long-range dependence exponent for Gaussian processes
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Determination of cointegrating rank in fractional systems.
- Semi-parametric estimation of long-range dependence index in infinite variance time series.
- Kernel type smoothed quantile estimation under long memory
- Space‐time modelling of trends in temperature series
- Change-point detection with rank statistics in long-memory time-series models
- A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
- Long-range dependent curve time series
- Empirical Performance and Asset Pricing in Hidden Markov Models
- Whittle estimator for finite-variance non-Gaussian time series with long memory
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- Estimation of time varying skewness and kurtosis with an application to value at risk
- The averaged periodogram estimator for a power law in coherency
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Bayesian semiparametric inference on long-range dependence
- Estimation of long-range dependence in gappy Gaussian time series
- Semiparametric exploration of long memory in stock prices
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