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Search: subject:"Long Memory."
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Subject
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long memory
710
Zeitreihenanalyse
659
Long memory
647
Time series analysis
620
Volatility
386
Volatilität
365
Theorie
312
Theory
276
ARCH-Modell
250
ARCH model
238
Schätzung
219
Estimation
209
Long Memory
194
fractional integration
177
ARMA-Modell
167
ARMA model
163
Schätztheorie
147
Kapitaleinkommen
143
Capital income
142
Estimation theory
142
Prognoseverfahren
124
Forecasting model
118
Börsenkurs
112
Aktienmarkt
109
Fractional integration
105
Share price
104
Stock market
103
Strukturbruch
98
Structural break
97
Kointegration
91
Cointegration
85
Stochastischer Prozess
84
Stochastic process
78
persistence
76
Persistence
71
Long-memory
69
GARCH
63
long-memory
57
Wechselkurs
54
Nichtparametrisches Verfahren
53
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All
Free
1,113
Undetermined
625
CC license
27
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Book / Working Paper
1,100
Article
955
Other
6
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Article in journal
527
Aufsatz in Zeitschrift
527
Working Paper
397
Graue Literatur
183
Non-commercial literature
183
Arbeitspapier
178
Article
31
research-article
18
Hochschulschrift
11
Thesis
9
Aufsatz im Buch
5
Aufsatzsammlung
5
Book section
5
Dissertation u.a. Prüfungsschriften
4
Collection of articles of several authors
3
Conference paper
3
Konferenzbeitrag
3
Sammelwerk
3
Collection of articles written by one author
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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1
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1
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English
1,263
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774
German
14
Spanish
4
French
2
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1
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1
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1
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Author
All
Gil-Alaña, Luis A.
160
Caporale, Guglielmo Maria
148
Sibbertsen, Philipp
114
Gil-Alana, Luis A.
70
McAleer, Michael
49
Gupta, Rangan
41
Asai, Manabu
38
Nielsen, Morten Ørregaard
38
Leschinski, Christian
36
Guegan, Dominique
28
Plastun, Alex
28
Lux, Thomas
25
Ooms, Marius
21
Morana, Claudio
20
Feng, Yuanhua
19
Kapetanios, George
19
Kruse, Robinson
19
Boutahar, Mohamed
18
Gil-Alana, Luis
18
Perron, Pierre
18
Robinson, Peter M
18
Chang, Chia-Lin
17
Giraitis, Liudas
17
Robinson, Peter M.
17
Christensen, Bent Jesper
16
Krämer, Walter
16
Boubaker, Heni
14
Hassler, Uwe
14
Koopman, Siem Jan
14
Baum, Christopher F.
13
Lovcha, Yuliya
13
Mishra, Tapas
13
Nasr, Adnen Ben
13
Nguyen, Duc Khuong
13
Beran, Jan
12
Frederiksen, Per
12
Kang, Sang Hoon
12
Peguin-Feissolle, Anne
12
Prokopczuk, Marcel
12
Ajmi, Ahdi Noomen
11
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Institution
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HAL
38
School of Economics and Management, University of Aarhus
33
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
31
EconWPA
26
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
25
Society for Computational Economics - SCE
21
Cowles Foundation for Research in Economics, Yale University
20
London School of Economics (LSE)
20
Department of Economics, Boston College
15
Department of Economics, Faculty of Economic and Management Sciences
14
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
14
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
14
Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
14
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
13
Department of Econometrics and Business Statistics, Monash Business School
12
Economics Department, Queen's University
12
Erasmus University Rotterdam, Econometric Institute
12
Institut de Préparation à l'Administration et à la Gestion (IPAG)
12
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
11
Econometric Society
10
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
9
Department of Economics and Finance, College of Business and Economics
9
Tinbergen Instituut
8
CESifo
7
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
7
School of Economics and Finance, Queen Mary
7
Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales
6
Department of Economics, Boston University
6
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
6
International Centre for Economic Research (ICER)
6
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
6
Tinbergen Institute
6
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
5
Department of Economics and Business, Universitat Pompeu Fabra
5
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
5
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
5
Institute of Economic Research, Kyoto University
5
Association Française de Cliométrie - AFC
4
Banca d'Italia
4
Departamento de Economía, Pontificia Universidad Católica del Perú
4
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Published in...
All
Physica A: Statistical Mechanics and its Applications
46
Hannover Economic Papers (HEP)
38
CESifo Working Paper
32
MPRA Paper
31
Studies in Nonlinear Dynamics & Econometrics
29
CREATES Research Papers
28
CESifo working papers
26
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
26
Journal of econometrics
26
STICERD - Econometrics Paper Series
25
Applied economics
23
Econometrics
23
Post-Print / HAL
21
Cowles Foundation Discussion Papers
20
LSE Research Online Documents on Economics
20
Working Paper
20
Economic modelling
18
DIW Discussion Papers
17
Energy economics
17
Working Papers / HAL
17
Research in international business and finance
16
Boston College Working Papers in Economics
15
Discussion paper / Tinbergen Institute
15
Economics and finance working paper series
15
Economics letters
15
Finance research letters
15
Tinbergen Institute Discussion Paper
15
Econometric Institute Research Papers
14
SFB 373 Discussion Paper
14
SFB 373 Discussion Papers
14
Tinbergen Institute Discussion Papers
14
Working Papers / Department of Economics, Faculty of Economic and Management Sciences
14
Diskussionsbeitrag
12
Econometric Institute Report
12
Empirical Economics
12
International review of financial analysis
12
Monash Econometrics and Business Statistics Working Papers
12
Queen's Economics Department Working Paper
12
Working Papers / Economics Department, Queen's University
12
Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG)
12
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Source
All
RePEc
1,036
ECONIS (ZBW)
726
EconStor
252
BASE
19
Other ZBW resources
19
USB Cologne (EcoSocSci)
5
USB Cologne (business full texts)
4
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151
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160
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151
Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina
;
Lux, Thomas
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
Saved in:
152
Approximating
long-memory
processes with low-order autoregressions : implications for modeling realized volatility
Baillie, Richard
;
Cho, Dooyeon
;
Rho, Seunghwa
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2911-2937
Persistent link: https://www.econbiz.de/10014329017
Saved in:
153
Efficiency dynamics across segmented Bitcoin markets : evidence from a decomposition strategy
Duan, Kun
;
Gao, Yang
;
Mishra, Tapas
;
Satchell, Stephen
- In:
Journal of international financial markets, …
83
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014306399
Saved in:
154
Long-memory
, asymmetry and fat-tailed GARCH models in value-at-risk estimation : empirical evidence from the global real estate markets
Mighri, Zouheir
;
Jaziri, Raouf
- In:
Journal of quantitative economics
21
(
2023
)
1
,
pp. 41-97
Persistent link: https://www.econbiz.de/10014259129
Saved in:
155
Strategic trading with information acquisition and
long-memory
stochastic liquidity
Han, Jinhui
;
Li, Xiaolong
;
Ma, Guiyuan
;
Kennedy, Adrian …
- In:
European journal of operational research : EJOR
308
(
2023
)
1
,
pp. 480-495
Persistent link: https://www.econbiz.de/10014283068
Saved in:
156
Multivariate fractional components analysis
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
Saved in:
157
A test for the efficiency of Nigerian REITs stocks
Gil-Alaña, Luis A.
;
Umar, Hassana Babangida
;
Usman, …
- In:
Review of development finance
13
(
2023
)
2
,
pp. 35-43
Persistent link: https://www.econbiz.de/10014637440
Saved in:
158
Delta-hedging in fractional volatility models
Zhao, Qi
;
Chronopoulou, Alexandra
- In:
Annals of finance
19
(
2023
)
1
,
pp. 119-140
Persistent link: https://www.econbiz.de/10014253877
Saved in:
159
Productivity and GDP : international evidence of persistence and trends over 130 years of data
Gil-Alaña, Luis A.
;
Solarin Sakiru Adebola
;
Balcilar, …
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
3
,
pp. 1219-1246
Persistent link: https://www.econbiz.de/10014226350
Saved in:
160
Parametric estimation of
long
memory
in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
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