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Danan, Eric; Gajdos, Thibault; Tallon, Jean-Marc - 2019

Persistent link: https://www.econbiz.de/10012244539

The sine aggregatio approach to applied macro

Conley, Timothy G.; Dupor, Bill; Ebsim, Mahdi - 2022

Persistent link: https://www.econbiz.de/10013281279

Alpha-maxmin as an aggregation of two selves

Chateauneuf, Alain; Faro, José Heleno; Tallon, Jean-Marc; … - 2024

Persistent link: https://www.econbiz.de/10014537214

Integrated ARCH, FIGARCH and AR models : origins of long memory

Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015

Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...

Persistent link: https://www.econbiz.de/10011405303

Semiparametric detection of changes in long range dependence

Iacone, Fabrizio; Lazarová, Stěpána - 2017

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifing the data generating process we employ local Whittle estimates which uses only...

Persistent link: https://www.econbiz.de/10011756088

Long memory, realized volatility and HAR models

Baillie, Richard; Calonaci, Fabio; Cho, Dooyeon; Rho, … - 2019

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its...

Persistent link: https://www.econbiz.de/10011964976

Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes

Jiang, Hui; Pan, Yajuan; Liao, Weilin; Yang, Qingshan; … - 2023

Persistent link: https://www.econbiz.de/10014320455

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/10013542193

Robust testing for explosive behavior with strongly dependent errors

Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013542210

Convergence during the oil crisis : a comparison of labour productivity in manufacturing of the planned and market economies

Kochnev, Artem - 2024

This paper examines labour productivity convergence in manufacturing of the planned and market economies in the setting … impact of the oil price shocks on convergence in productivity levels across industries between 1970 and 1985. Although the … paper does not find an impact of the oil price shocks on convergence of the command economies, it does detect an …

Persistent link: https://www.econbiz.de/10015138055