Pages that link to "Item:Q1922357"

The following pages link to Long memory processes and fractional integration in econometrics (Q1922357):

Displaying 50 items.

• Likelihood inference for a fractionally cointegrated vector autoregressive model (Q125805) (← links)
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes (Q135663) (← links)
• Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
• Residual log-periodogram inference for long-run relationships (Q269403) (← links)
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
• Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes (Q275259) (← links)
• A robust version of the KPSS test based on indicators (Q276913) (← links)
• Unit root log periodogram regression (Q277158) (← links)
• A unified approach to self-normalized block sampling (Q288844) (← links)
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) (← links)
• A regime switching long memory model for electricity prices (Q291856) (← links)
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (Q292039) (← links)
• Matrix method based on the second kind Chebyshev polynomials for solving time fractional diffusion-wave equations (Q295447) (← links)
• A complete asymptotic series for the autocovariance function of a long memory process (Q299260) (← links)
• Upper and lower bounds of integral operator defined by the fractional hypergeometric function (Q317745) (← links)
• Operational matrix of fractional integration based on the shifted second kind Chebyshev polynomials for solving fractional differential equations (Q327386) (← links)
• A Jacobi Gauss-Lobatto and Gauss-Radau collocation algorithm for solving fractional Fokker-Planck equations (Q330795) (← links)
• Stable multi-domain spectral penalty methods for fractional partial differential equations (Q348445) (← links)
• A spectral tau algorithm based on Jacobi operational matrix for numerical solution of time fractional diffusion-wave equations (Q349916) (← links)
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points (Q356616) (← links)
• Fractional integration versus level shifts: the case of realized asset correlations (Q379926) (← links)
• Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models (Q429271) (← links)
• Two-state volatility transition pricing and hedging of TXO options (Q429529) (← links)
• Prediction of fractional processes with long-range dependence (Q431593) (← links)
• Solving fractional nonlinear Fredholm integro-differential equations by the second kind Chebyshev wavelet (Q434748) (← links)
• Constancy test for FARIMA long memory processes (Q458109) (← links)
• Asymptotic behaviour of the LS estimator in a nonlinear model with long memory (Q458114) (← links)
• Legendre wavelets method for solving fractional population growth model in a closed system (Q459570) (← links)
• Stochastic averaging principle for dynamical systems with fractional Brownian motion (Q478249) (← links)
• Numerical solution for a class of nonlinear variable order fractional differential equations with Legendre wavelets (Q494251) (← links)
• A new operational matrix based on Bernoulli wavelets for solving fractional delay differential equations (Q503365) (← links)
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence (Q503560) (← links)
• Long-memory exchange rate dynamics in the Euro era (Q508201) (← links)
• Persistence-robust surplus-lag Granger causality testing (Q528008) (← links)
• Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors (Q546079) (← links)
• On continuous-time autoregressive fractionally integrated moving average processes (Q605852) (← links)
• Self-similarity in financial markets: a fractionally integrated approach (Q611788) (← links)
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← links)
• The CSS and the two-staged methods for parameter estimation in SARFIMA models (Q642448) (← links)
• Highly accurate numerical schemes for multi-dimensional space variable-order fractional Schrödinger equations (Q666777) (← links)
• A new algorithm in cloud computing of multi-agent fractional differential economical system (Q682493) (← links)
• Fractional integration and the volatility of UK interest rates (Q694912) (← links)
• Estimating long-range dependence in the presence of periodicity: An empirical study (Q699423) (← links)
• Bayesian estimation and the application of long memory stochastic volatility models (Q713736) (← links)
• Comparative study of three numerical schemes for fractional integro-differential equations (Q729871) (← links)
• Likelihood inference for a nonstationary fractional autoregressive model (Q736555) (← links)
• Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
• On the oscillation and asymptotic behavior for a kind of fractional differential equations (Q738381) (← links)
• Asymptotics for statistical functionals of long-memory sequences (Q765881) (← links)
• An effective pure meshfree method for 1D/2D time fractional convection-diffusion problems on irregular geometry (Q785205) (← links)