Similar Search Results

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

Seasonality robust local whittle estimation

Wingert, Simon; Leschinski, Christian; Sibbertsen, Philipp - In: Applied economics letters 27 (2020) 18, pp. 1489-1494

Persistent link: https://www.econbiz.de/10012315624

A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94

Persistent link: https://www.econbiz.de/10011982960

On the memory of products of long range dependent time series

Leschinski, Christian - In: Economics letters 153 (2017), pp. 72-76

Persistent link: https://www.econbiz.de/10011810659

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - In: Journal of Forecasting 40 (2020) 2, pp. 269-278

Persistent link: https://www.econbiz.de/10012272989

Time varying contagion in EMU government bond spreads

Leschinski, Christian; Bertram, Philip - In: Journal of financial stability 29 (2017), pp. 72-91

Persistent link: https://www.econbiz.de/10011825580

Comparing predictive accuracy under long memory, with an application to valatility forecasting

Kruse, Robinson; Leschinski, Christian; Will, Michael - In: Journal of financial econometrics 17 (2019) 2, pp. 180-228

Persistent link: https://www.econbiz.de/10012054436

Real Exchange Rates and Fundamentals in a new Markov‐STAR Model*

Bertram, Philip; Flock, Teresa; Ma, Jun; Sibbertsen, Philipp - In: Oxford Bulletin of Economics and Statistics 84 (2021) 2, pp. 356-379

Persistent link: https://www.econbiz.de/10012810442

On robust local polynomial estimation with long-memory errors

Beran, Jan; Feng, Yuanhua; Ghosh, Sucharita; … - In: International Journal of Forecasting 18 (2002) 2, pp. 227-241

Persistent link: https://www.econbiz.de/10005418170

Fractional integration versus level shifts: the case of realized asset correlations

Bertram, Philip; Kruse, Robinson; Sibbertsen, Philipp - In: Statistical Papers 54 (2013) 4, pp. 977-991

Long memory has been widely documented for realized financial market volatility. As a novelty, we consider daily realized asset correlations and we investigate whether the observed persistence is (i) due to true long memory (i.e. fractional integration) or (ii) artificially generated by some...

Persistent link: https://www.econbiz.de/10010848079