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On rapid change points under long memory
16 references·0 citing·31 second hop
On rapid change points under long memory (2010)On rapid change points under long memoryLong Range Dependence (2004)Long Range DependenceTheory and applications of long-range dependence (2003)Theory and applications of lo…The effect of long-range dependence on change-point estimators (1997)The effect of long-range depe…Statistics for Long-Memory Processes (1997)Statistics for Long-Memory Pr…Limit theorems in change-point analysis (1997)Limit theorems in change-poin…Testing for a change of the long-memory parameter (1996)Testing for a change of the l…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Change point estimation using nonparametric regression (1996)Change point estimation using…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Testing and estimating in the change-point problem of the spectral function (1992)Testing and estimating in the…Testing and estimating change-points in time series (1985)Testing and estimating change…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Convergence of integrated processes of arbitrary Hermite rank (1979)Convergence of integrated pro…Inference About the Change-Point in a Sequence of Random Variables (1970)Inference About the Change-Po…Multiple Wiener Integral (1951)Fractional Brownian Motions, Fractional Noises and Applications (1968)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Alternative forms of fractional Brownian motion (1999)Stein’s method on Wiener chaos (2008)Modelling Nonlinear Economic Time Series (2010)CONTINUOUS INSPECTION SCHEMES (1954)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Estimation of a Change Point in Multiple Regression Models (1997)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dealing with Structural Breaks (2005)Penalized Maximal t Test for Detecting Undocumented Mean Change in Climate Data Series (2007)Structural breaks in time series (2012)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)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Informational efficiency of Bitcoin—An extension (2017)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)
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References

  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1981Fractional Differencing2,720 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 1970Inference About the Change-Point in a Sequence of Random Variables831 cited
  • 1997Statistics for Long-Memory Processes606 cited
  • 1979Convergence of integrated processes of arbitrary Hermite rank566 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
  • 1985Testing and estimating change-points in time series338 cited
  • 2004Long Range Dependence281 cited
  • 1996Change point estimation using nonparametric regression180 cited
  • 1996Testing for a change of the long-memory parameter139 cited
  • 1997The effect of long-range dependence on change-point estimators85 cited
  • 1992Testing and estimating in the change-point problem of the spectral function

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