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A simple nonlinear time series model with misleading linear properties
4 references·16 citing·41 second hop
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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
  • 1996Varieties of long memory models425 cited
  • 1998Stylized facts of daily return series and the hidden Markov model346 cited

Cited by

  • 2018Tourism, terrorism and political violence in Tunisia: Evidence from Markov-switching models160 cited
  • 1999Occasional Structural Breaks and Long Memory154 cited
  • 2002A nonlinear long memory model, with an application to US unemployment135 cited
  • 2007Bifurcation routes to volatility clustering under evolutionary learning130 cited
  • 2001Memory and infrequent breaks106 cited
  • 2007Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching101 cited
  • 2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
  • 2009Nonlinearity and temporal dependence95 cited
  • 2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS94 cited
  • 2000Long Memory and Regime Switching80 cited
  • 2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM

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77 cited
  • 2016Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters73 cited
  • 2007A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY73 cited
  • 2011Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models72 cited
  • 2004Forecasting with Smooth Transition Autoregressive Models68 cited
  • 2005On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns66 cited