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Search: subject:"long memory"
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long memory
22
Long memory
17
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11
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Gil-Alaña, Luis A.
12
Phillips, Peter C.B.
11
Nielsen, Morten Ørregaard
9
Lieberman, Offer
6
Shimotsu, Katsumi
6
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3
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2
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2
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2
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2
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2
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2
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1
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1
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EconStor
26
RePEc
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1
Weak Convergence to Stochastic Integrals for Econometric Applications
Liang, Hanying
;
Phillips, Peter C.B.
;
Wang, Hanchao
; …
-
Cowles Foundation for Research in Economics, Yale University
-
2014
asymptotic development and we provide limit results for such covariances when linear process,
long
memory
, and mixing variates …
Persistent link: https://www.econbiz.de/10011096424
Saved in:
2
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
-
2012
stock return data, which includes both features and allows the co-existence of
long
memory
in volatility and short memory in …
Persistent link: https://www.econbiz.de/10010290437
Saved in:
3
Asymptotics for the conditional-sum-of-squares estimator in fractional time series models
Nielsen, Morten Ørregaard
-
2011
This paper proves consistency and asymptotic normality for the conditional-sum-of-squares (CSS) estimator in fractional time series models. The models are parametric and quite general. The novelty of the consistency result is that it applies to an arbitrarily large set of admissible parameter...
Persistent link: https://www.econbiz.de/10010290413
Saved in:
4
A necessary moment condition for the fractional functional central limit theorem
Johansen, Søren
;
Ørregaard Nielsen, Morten
-
2010
We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...
Persistent link: https://www.econbiz.de/10010290400
Saved in:
5
Long
memory
in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
-
2009
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with
long
memory
… that the
long
memory
property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH …-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of
long
memory
…
Persistent link: https://www.econbiz.de/10010290338
Saved in:
6
Fully modified Narrow-Band least squares estimation of weak fractional cointegration
Frederiksen, Per
;
Nielsen, Morten Ørregaard
-
2009
We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one-half. A special case is the stationary fractional cointegration model, which has found important...
Persistent link: https://www.econbiz.de/10010290372
Saved in:
7
A vector autoregressive model for electricity prices subject to
long
memory
and regime switching
Haldrup, Niels
;
Nielsen, Frank S.
;
Nielsen, Morten …
-
2009
A regime dependent VAR model is suggested that allows
long
memory
(fractional integration) in each of the observed … time, it is an empirical regularity that electricity prices tend to show a high degree of
long
memory
, and thus that prices …
Persistent link: https://www.econbiz.de/10010290397
Saved in:
8
Local polynomial Whittle estimation of perturbed fractional processes
Frederiksen, Per
;
Nielsen, Frank S.
;
Nielsen, Morten …
-
2009
We propose a semiparametric local polynomial Whittle with noise estimator of the memory parameter in
long
memory
time … reduction in the order of magnitude of the bias, but also inflate the asymptotic variance of the
long
memory
estimator by a …
Persistent link: https://www.econbiz.de/10010290459
Saved in:
9
Nonlinearity and Temporal Dependence
Chen, Xiaohong
;
Hansen, Lars P.
;
Carrasco, Marine
-
Cowles Foundation for Research in Economics, Yale University
-
2009
behave like those of stochastic processes with
long
memory
. Finally we show how state-dependent, Poisson sampling alters the …
Persistent link: https://www.econbiz.de/10008533975
Saved in:
10
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard
-
2008
In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...
Persistent link: https://www.econbiz.de/10010290391
Saved in:
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