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Search: subject:"long–memory"
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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
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237
Schätzung
219
Estimation
209
Long Memory
194
fractional integration
176
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167
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163
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147
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143
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142
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142
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123
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117
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112
Aktienmarkt
109
Fractional integration
105
Share price
104
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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
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53
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1,111
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625
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953
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6
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31
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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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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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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
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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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71
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date (oldest first)
71
Estimation and testing in a perturbed multivariate
long
memory
framework
Less, Vivien
;
Sibbertsen, Philipp
-
2022
generalised by an additional constant to capture the perturbation given in the
long
memory
process. Explicitly addressing the …
long
memory
under a perturbed fractional framework. The test statistic is based on the weighted sum of the partial …
Persistent link: https://www.econbiz.de/10014471672
Saved in:
72
Optimal forecasts in the presence of discrete structural breaks under
long
memory
Mboya, Mwasi Paza
;
Sibbertsen, Philipp
-
2022
We develop methods to obtain optimal forecast under
long
memory
in the presence of a discrete structural break based on … performance under
long
memory
. We further present an empirical application to in inflation rates that emphasizes the importance of …
Persistent link: https://www.econbiz.de/10014471687
Saved in:
73
Persistence in the Passion Investment Market
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2022
as a
long-memory
process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds …
Persistent link: https://www.econbiz.de/10013177620
Saved in:
74
Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets
Agyei, Samuel Kwaku
;
Adam, Anokye M.
;
Bossman, Ahmed
; …
- In:
Cogent Economics & Finance
10
(
2022
)
1
,
pp. 1-34
investment horizons. Furthermore, the comovements between the cryptocurrencies designate
long
memory
dynamics. The high …
Persistent link: https://www.econbiz.de/10015074261
Saved in:
75
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:
76
Weak identification of
long
memory
with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
Saved in:
77
Modelling profitability of private equity : a fractional integration approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2022
to a short-memory process, while those for the US exhibit
long
memory
, which implies that shocks have long-lived effects …
Persistent link: https://www.econbiz.de/10013285647
Saved in:
78
Trends and cycles in macro series : the case of US real GDP
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
- In:
Bulletin of economic research
74
(
2022
)
1
,
pp. 123-134
Persistent link: https://www.econbiz.de/10012819299
Saved in:
79
Persistence in the passion investment market
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2022
as a
long-memory
process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds …
Persistent link: https://www.econbiz.de/10012821953
Saved in:
80
Analysis of precious metal price movements using
long
memory
model and fuzzy time series Markov Chain
Arif, Erman
;
Devianto, Dodi
;
Yollanda, Mutia
;
Afrimayani
- In:
International Journal of Energy Economics and Policy : IJEEP
12
(
2022
)
6
,
pp. 202-214
Persistent link: https://www.econbiz.de/10014231095
Saved in:
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