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Long Memory and Regime Switching
16 references·9 citing·32 second hop
Long Memory and Regime Switching (2000)Long Memory and Regime SwitchingThe Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Modelling Extremal Events (1997)Modelling Extremal EventsStatistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Semiparametric Analysis of Long-Memory Time Series (1994)Semiparametric Analysis of Lo…Measuring Business Cycles: A Modern Perspective (1994)Measuring Business Cycles: A …Evidence on Structural Instability in Macroeconomic Time Series Relations (1994)Evidence on Structural Instab…A long memory property of stock market returns and a new model (1993)A long memory property of sto…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Long memory and persistence in aggregate output (1989)Long memory and persistence i…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…The Hurst Phenomenon: A puzzle? (1974)The Hurst Phenomenon: A puzzl…Option Pricing with Markov Switching (2021)Option Pricing with Markov Sw…U.S. shale oil production and WTI prices behaviour (2017)U.S. shale oil production and…Crude oil price behaviour before and after military conflicts and geopolitical events (2016)Crude oil price behaviour bef…Multi-Factor Gegenbauer Processes and European Inflation Rates (2011)Multi-Factor Gegenbauer Proce…Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models (2011)Estimating and Forecasting La…Long Memory in US Real Output Per Capita (2009)Long Memory in US Real Output…On discriminating between long-range dependence and changes in mean (2006)On discriminating between lon…Bayesian methods for change‐point detection in long‐range dependent processes (2002)Bayesian methods for change‐p…The Formation of Inflation Expectations under Changing Inflation Regimes (2001)The Formation of Inflation Ex…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)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)Time Series Analysis: Forecasting and Control (1977)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 1994Evidence on Structural Instability in Macroeconomic Time Series Relations600 cited
  • 1989Long memory and persistence in aggregate output546 cited
  • 1994Semiparametric Analysis of Long-Memory Time Series468 cited
  • 1994Measuring Business Cycles: A Modern Perspective363 cited

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  • 1974The Hurst Phenomenon: A puzzle?348 cited
  • Cited by

    • 2006On discriminating between long-range dependence and changes in mean160 cited
    • 2002Bayesian methods for change‐point detection in long‐range dependent processes123 cited
    • 2017U.S. shale oil production and WTI prices behaviour77 cited
    • 2016Crude oil price behaviour before and after military conflicts and geopolitical events66 cited
    • 2011Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models56 cited
    • 2009Long Memory in US Real Output Per Capita30 cited
    • 2021Option Pricing with Markov Switching24 cited
    • 2011Multi-Factor Gegenbauer Processes and European Inflation Rates17 cited
    • 2001The Formation of Inflation Expectations under Changing Inflation Regimes15 cited