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FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
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FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY (2011)FIXED-B ASYMPTOTICS FOR THE STUDENTIZED M…Long‐Memory Time Series (2006)Long‐Memory Time SeriesROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION (2005)ROBUST COVARIANCE MATRIX ESTI…On the sampling window method for long-range dependent data (1998)On the sampling window method…Statistics for Long-Memory Processes (1997)Statistics for Long-Memory Pr…Modelling Extremal Events (1997)Modelling Extremal EventsStatistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Fractional Differencing (1981)Fractional DifferencingWeak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Convergence of integrated processes of arbitrary Hermite rank (1979)On the moving block bootstrap under long range dependence (1993)Change-point tests under local alternatives for long-range dependent processes (2017)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Semiparametric Analysis of Long-Memory Time Series (1994)Gaussian Semiparametric Estimation of Long Range Dependence (1995)Multiple local whittle estimation in stationary systems (2008)Asymptotic theory for nonparametric regression with spatial data (2011)HAC Corrections for Strongly Autocorrelated Time Series (2014)Coherent Measures of Risk (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Maximum-Likelihood Estimation (2017)Fractional Brownian Motions, Fractional Noises and Applications (1968)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis (1972)On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)Stein’s method on Wiener chaos (2008)Wavelet analysis of long-range-dependent traffic (1998)The Distribution of Realized Exchange Rate Volatility (2001)Volatility Is Rough (2018)Modelling Nonlinear Economic Time Series (2010)Understanding collective crowd behaviors: Learning a Mixture model of Dynamic pedestrian-Agents (2012)Learning Collective Crowd Behaviors with Dynamic Pedestrian-Agents (2014)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (1997)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Political Choice in Britain (2004)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1981Fractional Differencing2,720 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1997Statistics for Long-Memory Processes606 cited
  • 2006Long‐Memory Time Series341 cited
  • 1998On the sampling window method for long-range dependent data70 cited
  • 2005ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION53 cited

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