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scholarly article

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publication date

5 April 2017

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zbMATH Keywords

cointegration

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long-range dependence

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unit-root

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frequency domain

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MaRDI profile type

MaRDI publication profile

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Nonstationarity-extended local Whittle estimation

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LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE

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VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES

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Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

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Modified information criteria and selection of long memory time series models

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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The Pricing of Options and Corporate Liabilities

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Modeling and pricing long memory in stock market volatility

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Inference on the cointegration rank in fractionally integrated processes.

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Cointegration tests in the presence of structural breaks

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Forecasting with equilibrium-correction models during structural breaks

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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

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Forecasting Economic Time Series

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Consistent estimation of the memory parameter for nonlinear time series

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A model of fractional cointegration, and tests for cointegration using the bootstrap.

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Alternative bootstrap procedures for testing cointegration in fractionally integrated processes

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THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II

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ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION

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Type I and type II fractional Brownian motions: a reconsideration

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REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES

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LONG MEMORY TESTING IN THE TIME DOMAIN

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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Long memory and regime switching

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A Fractional Dickey-Fuller Test for Unit Roots

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Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Modelling and measuring price discovery in commodity markets

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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Edgeworth expansions for semiparametric Whittle estimation of long memory.

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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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Long memory relationships and the aggregation of dynamic models

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Estimation of fractional integration in the presence of data noise

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Dynamic Models for Volatility and Heavy Tails

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On the power of unit root tests against fractional alternatives

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TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

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Fractional differencing

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Seasonal integration and cointegration

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Statistical analysis of cointegration vectors

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A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES

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Likelihood inference for a nonstationary fractional autoregressive model

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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

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A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM

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THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

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HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT

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Change‐Point Estimation of Fractionally Integrated Processes

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EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

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Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

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CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES

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Efficient Wald Tests for Fractional Unit Roots

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Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances

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Fractional Brownian Motions, Fractional Noises and Applications

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Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

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Aggregation in large dynamic panels

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Small sample properties of forecasts from autoregressive models under structural breaks

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Selection of estimation window in the presence of breaks

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Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes

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Higher-order improvements of the sieve bootstrap for fractionally integrated processes

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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Efficient Tests of Nonstationary Hypotheses

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Semiparametric analysis of long-memory time series

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Gaussian semiparametric estimation of long range dependence

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Narrow-band analysis of nonstationary processes

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NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION

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Exact local Whittle estimation of fractional integration

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Local Whittle estimation of fractional integration and some of its variants

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The Fractional Unit Root Distribution

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THE NONSTATIONARY FRACTIONAL UNIT ROOT

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A minimum distance estimator for long-memory processes

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Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points

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Contemporaneous aggregation of linear dynamic models in large economies

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Mathematics(1 entry)

mardi Publication:2971501

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