Pages that link to "Item:Q3160947"

The following pages link to Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (Q3160947):

Displaying 29 items.

• Fractionally integrated time varying GARCH model (Q257572) (← links)
• Discriminating between long-range dependence and non-stationarity (Q367214) (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
• Powerful tests for structural changes in volatility (Q528175) (← links)
• When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
• A modified test against spurious long memory (Q1663949) (← links)
• A multivariate test against spurious long memory (Q1706443) (← links)
• Long memory and nonlinearities in realized volatility: a Markov switching approach (Q1927150) (← links)
• Consistent inference for predictive regressions in persistent economic systems (Q2043266) (← links)
• Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Change-in-mean tests in long-memory time series: a review of recent developments (Q2324321) (← links)
• Power monotonicity in detecting volatility levels change (Q2446476) (← links)
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800) (← links)
• Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
• (Q2971501) (← links)
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429) (← links)
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (Q4979496) (← links)
• Autoregressive spectral estimates under ignored changes in the mean (Q5063329) (← links)
• True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison (Q5080517) (← links)
• Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series (Q5135317) (← links)
• Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming (Q5864447) (← links)
• Forecasting highly persistent time series with bounded spectrum processes (Q6099124) (← links)
• Long memory, spurious memory: persistence in range-based volatility of exchange rates (Q6138864) (← links)
• Parameter Estimation Robust to Low-Frequency Contamination (Q6616635) (← links)
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series (Q6620890) (← links)
• A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model (Q6634899) (← links)
• Estimating a common break point in means for long-range dependent panel data (Q6655927) (← links)