The following pages link to Long memory and regime switching (Q5952029):
Displaying 50 items.
- Long memory versus structural breaks: an overview (Q1762969) (← links)
- A mean shift break in the US interest rate. (Q1852937) (← links)
- Properties of nonlinear transformations of fractionally integrated processes. (Q1858966) (← links)
- A nonlinear long memory model, with an application to US unemployment. (Q1858967) (← links)
- Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000 (Q1863673) (← links)
- Long memory and nonlinearities in realized volatility: a Markov switching approach (Q1927150) (← links)
- Long-memory property of nonlinear transformations of break processes (Q1927845) (← links)
- Nonlinear autoregressive models and long memory (Q1929116) (← links)
- Estimating long memory: scaling function vs. Andrews and Guggenberger GPH (Q1934059) (← links)
- Forecasting long memory time series when occasional breaks occur (Q1934693) (← links)
- Long memory with Markov-switching GARCH (Q1934779) (← links)
- Change point dynamics for financial data: an indexed Markov chain approach (Q2000694) (← 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)
- Adaptive realized hyperbolic GARCH process: stability and estimation (Q2138236) (← links)
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation (Q2219432) (← links)
- Impossible inference in econometrics: theory and applications (Q2227046) (← links)
- Not all estimators are born equal: the empirical properties of some estimators of long memory (Q2227406) (← links)
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory (Q2232753) (← links)
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
- Learning can generate long memory (Q2294508) (← links)
- Change-in-mean tests in long-memory time series: a review of recent developments (Q2324321) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- Long memory, fractional integration, and cross-sectional aggregation (Q2397718) (← links)
- Modeling tick-by-tick realized correlations (Q2445693) (← links)
- Quasi-maximum likelihood estimation for multiple volatility shifts (Q2452776) (← links)
- A CUSUM test for a long memory heterogeneous autoregressive model (Q2453037) (← links)
- Forecasting a long memory process subject to structural breaks (Q2453079) (← links)
- A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090) (← links)
- The increment ratio statistic (Q2476149) (← links)
- On discriminating between long-range dependence and changes in mean (Q2500449) (← links)
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation (Q2509807) (← links)
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (Q2511800) (← links)
- A piecewise polynomial trend against long range dependence (Q2515861) (← links)
- Strategic long-term financial risks: single risk factors (Q2574059) (← links)
- Nonlinearity and temporal dependence (Q2630203) (← links)
- Estimation methods for the LRD parameter under a change in the mean (Q2633430) (← links)
- Rescaled range analysis in the presence of stochastic trend (Q2643023) (← links)
- On the equality of real interest rates across borders in integrated capital markets (Q2644310) (← links)
- Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials (Q2691641) (← links)
- On the estimation of short memory components in long memory time series models (Q2691673) (← links)
- Flexible Fourier form for volatility breaks (Q2691729) (← links)
- Regime switching with structural breaks in output convergence (Q2691764) (← links)
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence (Q2697063) (← links)
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592) (← links)
- Heterogeneous expectations and long-range correlation of the volatility of asset returns (Q2866365) (← links)
- A self-normalized central limit theorem for Markov random walks (Q2898915) (← links)
- Statistical tests for a single change in mean against long-range dependence (Q2930908) (← links)
- A FIXED-<i>b</i>TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION (Q2933189) (← links)
