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Estimators of long-memory: Fourier versus wavelets
16 references·2 citing·32 second hop
Estimators of long-memory: Fourier versus wavelets (2009)Estimators of long-memory: Fourier versus…Nonstationarity-extended local Whittle estimation (2007)Nonstationarity-extended loca…Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment (2005)Forecasting realized volatili…Theory and applications of long-range dependence (2003)Theory and applications of lo…Exact Local Whittle Estimation of Fractional \nIntegration (2002)Exact Local Whittle Estimatio…THE NONSTATIONARY FRACTIONAL UNIT ROOT (1999)THE NONSTATIONARY FRACTIONAL …Non-stationary log-periodogram regression (1999)Non-stationary log-periodogra…Gaussian Semiparametric Estimation of Non‐stationary Time Series (1999)Gaussian Semiparametric Estim…A wavelet-based joint estimator of the parameters of long-range dependence (1999)A wavelet-based joint estimat…Wavelet analysis of long-range-dependent traffic (1998)Wavelet analysis of long-rang…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES (1995)ESTIMATION OF THE MEMORY PARA…Efficient Tests of Nonstationary Hypotheses (1994)Efficient Tests of Nonstation…Efficient Tests of Nonstationary Hypotheses (1994)Efficient Tests of Nonstation…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…High versus low inflation: implications for price-level convergence (2015)High versus low inflation: im…Maximum-likelihood estimators in the mixed fractional Brownian motion (2011)Maximum-likelihood estimators…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Differencing (1981)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)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)5 Stochastic volatility (1996)Dealing with Structural Breaks (2005)Unit Roots and Cointegration in Panels (2008)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)Statistics for Long-Memory Processes. (1996)A multifractal wavelet model with application to network traffic (1999)Stock market prices and long-range dependence (1999)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling and pricing long memory in stock market volatility (1996)Determination of cointegrating rank in fractional systems (2002)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)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)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)Bootstrap for Empirical Multifractal Analysis (2007)Fractal Time Series—A Tutorial Review (2009)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)Oil price shocks and agricultural commodity prices (2014)Persistence in the cryptocurrency market (2018)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)
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References

  • 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
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 1998Wavelet analysis of long-range-dependent traffic957 cited
  • 1994Efficient Tests of Nonstationary Hypotheses863 cited
  • 2002Exact Local Whittle Estimation of Fractional \nIntegration518 cited
  • 1999A wavelet-based joint estimator of the parameters of long-range dependence511 cited
  • 1999Gaussian Semiparametric Estimation of Non‐stationary Time Series337 cited
  • 1999Non-stationary log-periodogram regression271 cited
  • 1994Efficient Tests of Nonstationary Hypotheses240 cited
  • 2007Nonstationarity-extended local Whittle estimation230 cited
  • 1999THE NONSTATIONARY FRACTIONAL UNIT ROOT210 cited
  • 2005Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment188 cited

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  • 1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES174 cited
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    • 2011Maximum-likelihood estimators in the mixed fractional Brownian motion27 cited
    • 2015High versus low inflation: implications for price-level convergence12 cited