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Dimitriadis, Timo; Halbleib, Roxana - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1346-1361

Persistent link: https://www.econbiz.de/10013539526

On the asymptotic properties of a feasible estimator of the continuous time long memory parameter

Ercolani, Joanne S. - 2010

Persistent link: https://www.econbiz.de/10009374216

The effect of round-off error on long memory processes

La Spada, Gabriele; Lillo, Fabrizio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 445-482

Persistent link: https://www.econbiz.de/10010461206

The asymmetry and fractional integration of the unemployment rate in Albania

Shalari, Ornela; Laho, Emmelinda; Gumeni, Anita - In: International journal of economic policy in emerging … 8 (2015) 3, pp. 229-244

Persistent link: https://www.econbiz.de/10011506047

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393

Persistent link: https://www.econbiz.de/10011906384

Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?

Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10011548319

Inference for impulse response coefficients from multivariate fractionally integrated processes

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84

Persistent link: https://www.econbiz.de/10011794639

Cointegrated dynamics for a generalized long memory process : application to interest rates

Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - In: Journal of time series econometrics 12 (2020) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012258310

Evaluating maximum likelihood estimation methods to determine the Hurst coefficient

Kendziorski, C.M; Bassingthwaighte, J.B; Tonellato, P.J - In: Physica A: Statistical Mechanics and its Applications 273 (1999) 3, pp. 439-451

A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficient (H) is evaluated. The Hurst coefficient, with 0.5H1, characterizes long memory time series by quantifying the rate of decay of the autocorrelation function. S-MLE was developed to estimate H...

Persistent link: https://www.econbiz.de/10010664874

Limit theory of model order change-point estimator for GARCH models

Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 426-445

Persistent link: https://www.econbiz.de/10011875287