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Search: subject:"long–memory"
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Subject
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long memory
708
Zeitreihenanalyse
657
Long memory
647
Time series analysis
618
Volatility
385
Volatilität
364
Theorie
311
Theory
275
ARCH-Modell
249
ARCH model
237
Schätzung
219
Estimation
209
Long Memory
194
fractional integration
176
ARMA-Modell
167
ARMA model
163
Schätztheorie
147
Kapitaleinkommen
143
Capital income
142
Estimation theory
142
Prognoseverfahren
123
Forecasting model
117
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
1,111
Undetermined
625
CC license
26
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Book / Working Paper
1,100
Article
953
Other
6
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All
Article in journal
525
Aufsatz in Zeitschrift
525
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
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4
Collection of articles of several authors
3
Conference paper
3
Konferenzbeitrag
3
Sammelwerk
3
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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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1
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1
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English
1,261
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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.
159
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)
724
EconStor
252
BASE
19
Other ZBW resources
19
USB Cologne (EcoSocSci)
5
USB Cologne (business full texts)
4
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101
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110
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2,059
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date (oldest first)
101
The memory of volatility
Wenger, Kai R.
;
Leschinski, Christian H.
;
Sibbertsen, …
- In:
Quantitative finance and economics
2
(
2018
)
1
,
pp. 137-159
Persistent link: https://www.econbiz.de/10012137903
Saved in:
102
Inflation targeting and inflation deviation inertia: A study for Brazil based on the fractional integration approach
Moreira, Ricardo Ramalhete
;
Monte, Edson Zambon
; …
- In:
Journal of Applied Economics
21
(
2018
)
1
,
pp. 67-83
on typical unit root tests, as we identified a
long-memory
behavior in inflation deviation. Such a non …
Persistent link: https://www.econbiz.de/10015334224
Saved in:
103
Inflation targeting and inflation deviation inertia : a study for Brazil based on the fractional integration approach
Moreira, Ricardo Ramalhete
;
Monte, Edson Zambon
; …
-
2018
on typical unit root tests, as we identified a
long-memory
behavior in inflation deviation. Such a non …
Persistent link: https://www.econbiz.de/10012157181
Saved in:
104
Understanding intraday oil price dynamics during the COVID-19 pandemic : new evidence from oil and stock investor sentiments
Madani, Mohamed Arbi
;
Ftiti, Zied
- In:
The energy journal
45
(
2024
)
3
,
pp. 57-86
Persistent link: https://www.econbiz.de/10015273053
Saved in:
105
Modelling
long
memory
dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets
Gupta, Pankaj Kumar
;
Mittal, Prabhat
- In:
Global business & economics review
30
(
2024
)
1
,
pp. 56-71
Persistent link: https://www.econbiz.de/10014490993
Saved in:
106
Long
memory
in volatility in foreign exchange markets : evidence from selected countries in Africa
Kuttu, Saint
;
Abor, Joshua Yindenaba
;
Amewu, Godfred
- In:
Journal of economics and finance : JEF
48
(
2024
)
2
,
pp. 462-482
Persistent link: https://www.econbiz.de/10015097329
Saved in:
107
Fractional cointegration between energy imports to the EURO area and exchange rates to the US dollar
Malmierca-Ordoqui, Maria
;
Gil-Alaña, Luis A.
;
Monge …
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
2
,
pp. 859-882
Persistent link: https://www.econbiz.de/10014519716
Saved in:
108
Persistence and
long
memory
in monetary policy spreads
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
- In:
Applied economics
56
(
2024
)
20
,
pp. 2422-2433
Persistent link: https://www.econbiz.de/10014521131
Saved in:
109
Can asymmetry,
long
memory
, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model
Chen, Zhenlong
;
Liu, Junjie
;
Hao, Xiaozhen
- In:
Finance research letters
64
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531739
Saved in:
110
Forecasting conditional volatility based on hybrid GARCH-type models with
long
memory
, regime switching, leverage effect and heavy-tail : further evidence from equity market
Huang, Yirong
;
Luo, Yi
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014534834
Saved in:
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