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~person:"Chang, Chia-Lin"
~person:"Nielsen, Morten Ørregaard"
~person:"Robinson, Peter M."
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long memory
43
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Chang, Chia-Lin
Nielsen, Morten Ørregaard
Robinson, Peter M.
Gil-Alaña, Luis A.
155
Caporale, Guglielmo Maria
143
Sibbertsen, Philipp
110
Gil-Alana, Luis A.
70
McAleer, Michael
49
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41
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38
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36
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28
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28
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25
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22
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21
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20
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19
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RePEc
46
ECONIS (ZBW)
15
EconStor
12
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1
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
Saved in:
2
Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
3
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
4
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2020
known in the literature that long
memory
and level breaks can be mistaken for one another, with unmodelled level breaks …
Persistent link: https://www.econbiz.de/10012431074
Saved in:
5
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2020
known in the literature that long
memory
and level breaks can be mistaken for one another, with unmodelled level breaks …
Persistent link: https://www.econbiz.de/10012243070
Saved in:
6
Realized matrix-exponential stochastic volatility with asymmetry, long
memory
and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
7
Realized Stochastic Volatility with General Asymmetry and Long
Memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
incorporates general asymmetry and long
memory
(hereafter the RSV-GALM model). The contribution of the paper ties in with Robert …
Persistent link: https://www.econbiz.de/10011662536
Saved in:
8
Realized stochastic volatility with general asymmetry and long
memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
incorporates general asymmetry and long
memory
(hereafter the RSV-GALM model). The contribution of the paper ties in with Robert …
Persistent link: https://www.econbiz.de/10011636455
Saved in:
9
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long
Memory
and Spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
covariances that incorporates asymmetry and long
memory
(hereafter the RMESV-ALM model). The matrix exponential transformation …
Persistent link: https://www.econbiz.de/10011586691
Saved in:
10
Realized matrix-exponential stochastic volatility with asymmetry, long
memory
and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
covariances that incorporates asymmetry and long
memory
(hereafter the RMESV-ALM model). The matrix exponential transformation …
Persistent link: https://www.econbiz.de/10011536626
Saved in:
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