Rescaled variance and related tests for long memory in volatility and levels
type: Item
instance of: scholarly article
title: Rescaled variance and related tests for long memory in volatility and levels
zbMATH Open document ID: 1027.62064
DOI: 10.1016/S0304-4076(02)00197-5
author: L. Giraitis
author: Remigijus Leipus
author: Gilles Teyssière
author: Piotr Kokoszka
published in: Journal of Econometrics
publication date: 2003-04-09T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62F05
zbMATH DE Number: 1895706
zbMATH Keywords: long memory
zbMATH Keywords: modified R/S statistic
zbMATH Keywords: KPSS statistic
zbMATH Keywords: V/S statistic
zbMATH Keywords: linear process
zbMATH Keywords: LARCH model
describes a project that uses: Diehard
MaRDI profile type: Publication
Wikidata QID: Q105583351
cites work: Q5631966
cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity
cites work: Q5560061
cites work: The detection and estimation of long memory in stochastic volatility
cites work: Q3947020
cites work: Q4230831
cites work: TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
cites work: Long-range dependence in the conditional variance of stock returns
cites work: Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
cites work: Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
cites work: The Invariance Principle for Stationary Processes
cites work: Modeling volatility persistence of speculative returns: a new approach
cites work: Q5684085
cites work: The Asymptotic Distribution of the Range of Sums of Independent Random Variables
cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
cites work: STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
cites work: Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
cites work: A model for long memory conditional heteroscedasticity.
cites work: Testing for long memory in the presence of a general trend
cites work: Econometric specification of stochastic discount factor models
cites work: Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
cites work: K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
cites work: Microeconomic Models for Long Memory in the Volatility of Financial Time Series
cites work: Q3274495
cites work: Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
cites work: On the power of the KPSS test of stationarity against fractionally-integrated alternatives
cites work: Long-Term Memory in Stock Market Prices
cites work: A Nonparametric Test for I(0)
cites work: Limit theorems on the self-normalized range for weakly and strongly dependent processes
cites work: Q3667770
cites work: Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
cites work: Gaussian semiparametric estimation of long range dependence
cites work: LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
cites work: Nonlinear time series with long memory: A model for stochastic volatility
cites work: Limit Theorems Associated with Variants of the Von Mises Statistic
cites work: The KPSS stationarity test as a unit root test
cites work: A critical look at Lo's modified \(R/S\) statistic.
cites work: Stock market prices and long-range dependence
cites work: On the power of durbin-watson statistic against fractionally integrated processes
cites work: Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
cites work: Goodness-of-fit tests on a circle
description: scientific article; zbMATH DE number 1895706