Search Results - subject:"Multivariate Long Memory"

Multivariate long memory structure in the cryptocurrency market : the impact of COVID-19

Assaf, Ata; Bhandari, Avishek; Charif, Husni; Demir, Ender - In: International review of financial analysis 82 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013426196

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long … memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating …

Persistent link: https://www.econbiz.de/10015200188

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

Persistent link: https://www.econbiz.de/10015325448

True or spurious long memory in the cryptocurrency markets : evidence from a multivariate test and other Whittle estimation methods

Assaf, Ata; Gil-Alaña, Luis A.; Mokni, Khaled - In: Empirical economics : a quarterly journal of the … 63 (2022) 3, pp. 1543-1570

Persistent link: https://www.econbiz.de/10013440392

Testing for multiple structural breaks in multivariate long memory time series

Sibbertsen, Philipp; Wenger, Kai Rouven; Wingert, Simon - 2020

This paper considers estimation and testing of multiple breaks that occur at unknown dates in multivariate long-memory …

Persistent link: https://www.econbiz.de/10012313634

A multivariate test against spurious long memory

Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie - In: Journal of econometrics 203 (2018) 1, pp. 33-49

Persistent link: https://www.econbiz.de/10011974604

Testing for multiple structural breaks in multivariate long memory time series

Sibbertsen, Philipp; Wenger, Kai; Wingert, Simon - 2020

This paper considers estimation and testing of multiple breaks that occur at unknown dates in multivariate long-memory …

Persistent link: https://www.econbiz.de/10012384157

Testing unemployment theories : a multivariate long memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - In: Journal of applied economics 19 (2016) 1, pp. 95-112

Persistent link: https://www.econbiz.de/10011555191

Robust multivariate local whittle estimation and spurious fractional cointegration

Becker, Janis; Leschinski, Christian; Sibbertsen, Philipp - 2019

This paper derives a multivariate local Whittle estimator for the memory parameter of a possibly long memory process and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle based procedures requires a priori knowledge of the...

Persistent link: https://www.econbiz.de/10012105358

Robust multivariate local whittle estimation and spurious fractional cointegration

Becker, Janis; Leschinski, Christian; Sibbertsen, Philipp - 2019

Persistent link: https://www.econbiz.de/10012213530