Pages that link to "Item:Q1868970"

The following pages link to Rescaled variance and related tests for long memory in volatility and levels (Q1868970):

Displaying 50 items.

• Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
• A complete asymptotic series for the autocovariance function of a long memory process (Q299260) (← links)
• Two estimators of the long-run variance: beyond short memory (Q302164) (← links)
• A test of the null of integer integration against the alternative of fractional integration (Q494391) (← links)
• Testing for long-range dependence in the Brazilian term structure of interest rates (Q601336) (← links)
• Spurious regression (Q609686) (← links)
• The increment ratio statistic under deterministic trends (Q616536) (← links)
• The asymptotic behavior of the R/S statistic for fractional Brownian motion (Q618011) (← links)
• Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266) (← links)
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market (Q658641) (← links)
• Strong approximation for the sums of squares of augmented GARCH sequences (Q850764) (← links)
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration (Q867849) (← links)
• Long-run variance estimation for spatial data under change-point alternatives (Q894795) (← links)
• The functional central limit theorem for a family of GARCH observations with applications (Q952866) (← links)
• Testing for bubbles and change-points (Q953776) (← links)
• Bootstrapping long memory tests: some Monte Carlo results (Q961426) (← links)
• Weakly dependent functional data (Q973886) (← links)
• Order-splitting and long-memory in an order-driven market (Q977582) (← links)
• A two-sample test for comparison of long memory parameters (Q990895) (← links)
• Evaluating currency risk in emerging markets (Q996771) (← links)
• Testing for changes in the covariance structure of linear processes (Q1011543) (← links)
• Correlated continuous time random walks (Q1017816) (← links)
• Monitoring shifts in mean: asymptotic normality of stopping times (Q1019482) (← links)
• Asymptotic properties of nonparametric regression for long memory random fields (Q1044078) (← links)
• Long memory and stochastic trend. (Q1424482) (← links)
• Invariance principles for tempered fractionally integrated processes (Q1615896) (← links)
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics (Q1695674) (← links)
• Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors (Q1709424) (← links)
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model (Q1927143) (← links)
• The scaling function-based estimator of long memory in the presence of a short-term component (Q1927528) (← links)
• Asymptotic behavior of weakly dependent aggregated processes (Q1945281) (← links)
• The V/S test of long-range dependence in random fields (Q1951805) (← links)
• A two-sample test for the equality of univariate marginal distributions for high-dimensional data (Q2008229) (← links)
• Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory (Q2068436) (← links)
• M-estimate for the stationary hyperbolic GARCH models (Q2070660) (← links)
• Monitoring procedures for strict stationarity based on the multivariate characteristic function (Q2078564) (← links)
• On a class of estimation and test for long memory (Q2153233) (← links)
• Frequency domain theory for functional time series: variance decomposition and an invariance principle (Q2175006) (← links)
• Testing for stationarity at high frequency (Q2182131) (← links)
• On the empirical process of tempered moving averages (Q2216974) (← links)
• Sequential monitoring for changes from stationarity to mild non-stationarity (Q2295810) (← links)
• A moment-based notion of time dependence for functional time series (Q2330725) (← links)
• Testing for long-range dependence in world stock markets (Q2425502) (← links)
• Time-varying long-range dependence in US interest rates (Q2468080) (← links)
• The increment ratio statistic (Q2476149) (← links)
• On discriminating between long-range dependence and changes in mean (Q2500449) (← links)
• Testing stationarity of functional time series (Q2512639) (← links)
• Rescaled range analysis in the presence of stochastic trend (Q2643023) (← links)
• A consistent estimator for skewness of partial sums of dependent data (Q2658002) (← links)
• Structural breaks in time series (Q2852477) (← links)