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Calculating and analyzing impulse responses for the vector ARFIMA model
12 references·3 citing·41 second hop
Calculating and analyzing impulse responses for the vector ARFIMA model (2001)Calculating and analyzing impulse respons…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Estimating a generalized long memory process (1996)Estimating a generalized long…Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series (1996)Asymptotic distributions of t…Analysing inflation by the fractionally integrated ARFIMA-GARCH model (1996)Analysing inflation by the fr…Long Memory in Foreign-Exchange Rates (1993)Long Memory in Foreign-Exchan…Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models (1993)Asymptotic Distributions of I…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…Real Exchange Rates under the Gold Standard (1991)Real Exchange Rates under the…Is Consumption Too Smooth? Long Memory and the Deaton Paradox (1991)Is Consumption Too Smooth? Lo…Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models (1990)Asymptotic Distributions of I…Long memory and persistence in aggregate output (1989)Long memory and persistence i…Fractional Differencing (1981)Fractional DifferencingTime series analysis of intensive longitudinal data in psychosomatic research: A methodological overview (2020)Time series analysis of inten…Generalized impulse response analysis in a fractionally integrated vector autoregressive model (2012)Generalized impulse response …Linkages between international stock markets: A multivariate long-memory approach (2009)Linkages between internationa…Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Purchasing Power Parity in the Long Run (1990)Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994)Chapter 32 Perspectives on PPP and long-run real exchange rates (1995)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)What happened to the oil price-macroeconomy relationship? (1996)Vector Autoregressions and Reality (2002)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Trends and random walks in macroeconmic time series (1982)Time Series Regression with a Unit Root (1987)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Empirical exchange rate models of the seventies (1983)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A causality-in-variance test and its application to financial market prices (1996)Alternative Variance-Ratio Tests Using Ranks and Signs (2000)Rescaled variance and related tests for long memory in volatility and levels (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood‐based cointegration tests in heterogeneous panels (2001)Fractional Brownian Motions, Fractional Noises and Applications (1968)Testing for Autocorrelation Using a Modified Box‐Pierce Q Test (2001)Structural change and long-range dependence in volatility of exchange rates: either, neither or both? (2004)On linear processes with dependent innovations (2005)Time Series Analysis: Forecasting and Control (1977)Gaussian estimation of parametric spectral density with unknown\n\t\t\t pole (2001)A non-linear approach with long range dependence based on chebyshev polynomials (2012)Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials (2015)The detection and estimation of long memory in stochastic volatility (1998)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)
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References

  • 1981Fractional Differencing2,720 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model557 cited
  • 1989Long memory and persistence in aggregate output546 cited
  • 1991Real Exchange Rates under the Gold Standard415 cited
  • 1993Long Memory in Foreign-Exchange Rates359 cited
  • 1990Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models267 cited
  • 1996Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series221 cited
  • 1996Estimating a generalized long memory process134 cited
  • 1991Is Consumption Too Smooth? Long Memory and the Deaton Paradox124 cited
  • 1993Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models60 cited

Cited by

  • 2020Time series analysis of intensive longitudinal data in psychosomatic research: A methodological overview68 cited
  • 2009Linkages between international stock markets: A multivariate long-memory approach

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27 cited
  • 2012Generalized impulse response analysis in a fractionally integrated vector autoregressive model12 cited