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Memory properties and fractional integration in transportation time-series
16 references·3 citing·26 second hop
Memory properties and fractional integration in transportation time-series (2009)Memory properties and fractional integrat…Statistical and Econometric Methods for Transportation Data Analysis (2003)Statistical and Econometric M…Long memory and regime switching (2001)Long memory and regime switch…Varieties of long memory models (1996)Varieties of long memory mode…Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Nonlinear Dynamic Structures (1993)Nonlinear Dynamic StructuresTesting the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon (1978)Preservation of the rescaled …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis Forecasting and Control. (1971)Time Series Analysis Forecast…Modeling the effects of the governmental responses to COVID-19 on transit demand: The case of Athens, Greece (2022)Modeling the effects of the g…Forecasting bunker prices; A nonstationary, multivariate methodology (2013)Forecasting bunker prices; A …Interventions affecting air transport passenger demand in Taiwan (2010)Interventions affecting air t…Distribution 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)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)Multivariate GARCH models: a surveyGeneralized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Econometric Analysis of Cross Section and Panel Data (2001)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Critical Values for Cointegration Tests (2010)Some recent development in a concept of causality (1988)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1971Time Series Analysis Forecasting and Control.6,714 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1981Fractional Differencing2,720 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 2003Statistical and Econometric Methods for Transportation Data Analysis1,901 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 2001Long memory and regime switching1,162 cited
  • 1993Nonlinear Dynamic Structures437 cited
  • 1996Varieties of long memory models425 cited

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  • 1978Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon341 cited
  • Cited by

    • 2013Forecasting bunker prices; A nonstationary, multivariate methodology41 cited
    • 2010Interventions affecting air transport passenger demand in Taiwan13 cited
    • 2022Modeling the effects of the governmental responses to COVID-19 on transit demand: The case of Athens, Greece6 cited