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Convergence of integrated processes of arbitrary Hermite rank
3 references·16 citing·38 second hop
Convergence of integrated processes of arbitrary Hermite rank (1979)Convergence of integrated processes of ar…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Multiple Wiener Integral (1951)Multiple Wiener IntegralModelling Nonlinear Economic Time Series (2010)Modelling Nonlinear Economic …Central and non-central limit theorems for weighted power variations of fractional Brownian motion (2010)Central and non-central limit…Testing Models of Low-Frequency Variability (2008)Testing Models of Low-Frequen…Stein’s method on Wiener chaos (2008)Stein’s method on Wiener chaosAnalysis of the Rosenblatt process (2008)Analysis of the Rosenblatt pr…Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Wiener Integrals with Respect…Variations and estimators for the selfsimilarity order through Malliavin calculus (2007)Variations and estimators for…Power variation of some integral fractional processes (2006)Power variation of some integ…Long Memory and the Relation Between Implied and Realized Volatility (2006)Long Memory and the Relation …Testing normality: a GMM approach (2004)Testing normality: a GMM appr…Long Range Dependence (2004)Long Range DependenceProperties of nonlinear transformations of fractionally integrated processes (2002)Properties of nonlinear trans…Weak convergence of multivariate fractional processes (2000)Weak convergence of multivari…LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS (1999)LONG AND SHORT MEMORY CONDITI…Alternative forms of fractional Brownian motion (1999)Alternative forms of fraction…A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence (1986)A Bibliographical Guide to Se…The Malliavin Calculus and Related Topics (1995)Stochastic Analysis (1997)The Malliavin Calculus and Related Topics (2006)Density Formula and Concentration Inequalities with Malliavin Calculus (2009)Multivariate normal approximation using Stein’s method and Malliavin calculus (2010)Stein’s method and Normal approximation of Poisson functionals (2010)Multiple Time Series Regression with Integrated Processes (1986)Semiparametric fractional cointegration analysis (2001)Nonstationarity-extended local Whittle estimation (2007)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes (2007)Locally stationary long memory estimation (2010)A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 (2017)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)A long memory property of stock market returns and a new model (1993)Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2011)Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012)Tourism, terrorism and political violence in Tunisia: Evidence from Markov-switching models (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Volatility Forecasting (2005)Chapter 5 Predictive Density Evaluation (2006)Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (2009)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)Multifractality in Asset Returns: Theory and Evidence (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Bias and Variance Analysis for Multistep-Ahead Time Series Forecasting (2015)Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (2016)Economic Policy Uncertainty Spillovers in Booms and Busts (2019)Stochastic integrals in the plane (1975)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions (2016)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1951Multiple Wiener Integral699 cited

Cited by

  • 2008Stein’s method on Wiener chaos415 cited
  • 2010Modelling Nonlinear Economic Time Series352 cited
  • 1999Alternative forms of fractional Brownian motion289 cited
  • 2004Long Range Dependence281 cited
  • 2008Analysis of the Rosenblatt process225 cited
  • 2004Testing normality: a GMM approach176 cited
  • 1999LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS168 cited
  • 2000Weak convergence of multivariate fractional processes143 cited
  • 2010Central and non-central limit theorems for weighted power variations of fractional Brownian motion127 cited
  • 2006Long Memory and the Relation Between Implied and Realized Volatility126 cited
  • 2002Properties of nonlinear transformations of fractionally integrated processes113 cited
  • 2006Power variation of some integral fractional processes110 cited

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2007
Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
109 cited
  • 1986A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence103 cited
  • 2008Testing Models of Low-Frequency Variability101 cited
  • 2007Variations and estimators for the selfsimilarity order through Malliavin calculus93 cited