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Long memory versus structural breaks: An overview
16 references·0 citing·34 second hop
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 2001Long memory and regime switching1,162 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 1998Wavelet analysis of long-range-dependent traffic957 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 1966The Typical Spectral Shape of an Economic Variable663 cited
  • 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
  • 1993Long Memory in Foreign-Exchange Rates359 cited

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1998
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series
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