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Long memory and level shifts: Re-analyzing inflation rates
12 references·16 citing·40 second hop
Long memory and level shifts: Re-analyzing inflation rates (1999)Long memory and level shifts: Re-analyzin…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …Statistics for Long-Memory Processes. 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Estimates Using the Allocation of Police Forces After a Terrorist Attack (2004)Dealing with Structural Breaks (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Distribution of Stock Return Volatility (2000)A multiple indicators model for volatility using intra-daily data (2005)Parametric and Nonparametric Volatility Measurement (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Modeling and pricing long memory in stock market volatility (1996)Likelihood‐based cointegration tests in heterogeneous panels (2001)Time Series Analysis: Forecasting and Control (1977)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)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)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)
this work references cited by second hop

References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1997Estimation of a Change Point in Multiple Regression Models829 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model557 cited
  • 1987Tests for Hurst Effect544 cited
  • 1992Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions346 cited
  • 1995Long Memory in Inflation Rates: International Evidence315 cited

Cited by

  • 2005Breaks and persistency: macroeconomic causes of stock market volatility169 cited
  • 2006On discriminating between long-range dependence and changes in mean160 cited
  • 2002

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A nonlinear long memory model, with an application to US unemployment
135 cited
  • 2007Dynamics of Persistence in International Inflation Rates117 cited
  • 2007Long memory and structural changes in the forward discount: An empirical investigation106 cited
  • 2002Inflation, forecast intervals and long memory regression models93 cited
  • 2001Testing for long memory in the presence of a general trend89 cited
  • 2016Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching65 cited
  • 2006Estimation of fractional integration in the presence of data noise65 cited
  • 2003Long memory and outliers in stock market returns63 cited
  • 2004State Space Models With a Common Stochastic Variance62 cited
  • 2005Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance54 cited
  • 2003The Nature of Persistence in Turkish Real Exchange Rates50 cited
  • 2014Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model48 cited
  • 2007The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach43 cited
  • 2012Adaptive ARFIMA models with applications to inflation41 cited