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Adaptive pointwise estimation in time-inhomogeneous time-series models
Cizek, Pavel,
Modelling Financial High Frequency Data Using Point Processes
Bauwens, Luc, (2007)
A Generalized ARFIMA Process with Markov-Switching Fractional DifferencingParameter
Tsay, Wen-Jen, (2007)
The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes
Kejriwal, Mohitosh, (2006)
Testing for Multiple Structural Changes in Cointegrated Regression Models
Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses