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Long memory and structural changes in the forward discount: An empirical investigation
16 references·16 citing·29 second hopsampled
Long memory and structural changes in the forward discount: An empirical investigation (2007)Long memory and structural changes in the…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Long memory and regime switching (2001)Long memory and regime switch…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Forward and spot exchange rates (1984)Forward and spot exchange rat…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Fractional Differencing (1981)Fractional DifferencingLong memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas (2023)The Russia–Ukraine war and en…Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective (2019)Volatility spillovers between…True or spurious long memory in volatility: Further evidence on the energy futures markets (2014)True or spurious long memory …Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? (2014)Structural breaks in volatili…How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process (2013)How do OPEC news and structur…Persistence-robust surplus-lag Granger causality testing (2012)Persistence-robust surplus-la…Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012)Long memory and structural br…Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2011)Forecasting the conditional v…Long memory and structural breaks in commodity futures markets (2010)Long memory and structural br…Long memory versus structural breaks in modeling and forecasting realized volatility (2009)Long memory versus structural…Long Memory in Oil and Refined Products Markets (2009)Long Memory in Oil and Refine…THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS (2008)THE ECONOMICS OF THE UNCOVERE…Testing for structural changes in exchange rates’ dependence beyond linear correlation (2008)Testing for structural change…What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks (2007)What is What?: A Simple Time-…Simple (but effective) tests of long memory versus structural breaks (2006)Simple (but effective) tests …An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (2005)An empirical investigation of…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Fractional Brownian Motions, Fractional Noises and Applications (1968)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Time Series Regression with a Unit Root (1987)A simple panel unit root test in the presence of cross‐section dependence (2007)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 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
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2001Long memory and regime switching1,162 cited
  • Cited by

    • 2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective186 cited
    • 2005An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series175 cited
    • 2011Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models161 cited
    • 2012Long memory and structural breaks in modeling the return and volatility dynamics of precious metals160 cited
    • 2014Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?136 cited
    • 2009Long memory versus structural breaks in modeling and forecasting realized volatility108 cited
    • 2013How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process92 cited
    • 2023The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas78 cited
    • 2006Simple (but effective) tests of long memory versus structural breaks76 cited
    • 2009Long Memory in Oil and Refined Products Markets69 cited
    • 2014True or spurious long memory in volatility: Further evidence on the energy futures markets61 cited
    • 2008THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS58 cited
    • 2008Testing for structural changes in exchange rates’ dependence beyond linear correlation52 cited
    • 2012Persistence-robust surplus-lag Granger causality testing44 cited
    • 2007What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks37 cited
    • 2010Long memory and structural breaks in commodity futures markets34 cited