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The Prominence of Stationarity in Time Series Forecasting
16 references·0 citing·34 second hop
The Prominence of Stationarity in Time Series Forecasting (2014)The Prominence of Stationarity in Time Se…Applied Econometric Time Series, Walter Enders, Hoboken, NJ: Wiley, 2010, treće izdanje, 531 str. (2012)Applied Econometric Time Seri…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Introduction to time series analysis and forecasting (2008)Introduction to time series a…Wavelet analysis of stock returns and aggregate economic activity (2007)Wavelet analysis of stock ret…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Can Economic Time Series Be Differenced to Stationarity? (1996)Can Economic Time Series Be D…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…A Drunk and Her Dog: An Illustration of Cointegration and Error Correction (1994)A Drunk and Her Dog: An Illus…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…The Fractional Unit Root Distribution (1990)The Fractional Unit Root Dist…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Tests for Hurst Effect (1987)Tests for Hurst EffectTHE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Fractional Differencing (1981)Fractional DifferencingDistribution 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)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)A comparison of three different approaches to tourist arrival forecasting (2003)Evaluation of statistical and machine learning models for time series prediction: Identifying the state-of-the-art and the best conditions for the use of each model (2019)Bayesian optimization based dynamic ensemble for time series forecasting (2022)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)Long memory processes and fractional integration in econometrics (1996)
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References

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  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,842 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2008Introduction to time series analysis and forecasting1,405 cited
  • 1987Tests for Hurst Effect544 cited
  • 1990The Fractional Unit Root Distribution235 cited
  • 2007Wavelet analysis of stock returns and aggregate economic activity200 cited
  • 2012Applied Econometric Time Series, Walter Enders, Hoboken, NJ: Wiley, 2010, treće izdanje, 531 str.160 cited
  • 1994A Drunk and Her Dog: An Illustration of Cointegration and Error Correction155 cited

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1996
Can Economic Time Series Be Differenced to Stationarity?
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