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Rescaled variance and related tests for long memory in volatility and levels · Study

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Rescaled variance and related tests for long memory in volatility and levels

Liudas Giraitis, Piotr S. Kokoszka, Remigijus Leipus, Gilles Teyssière

2002-12-10articleJournal of Econometrics301 citationsclosed

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

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Citations in this library

Stored only when both papers are in the corpus — 301 citations exist upstream.

References

1992Testing the null hypothesis of stationarity against the alternative of a unit root

2012The Econometrics of Financial Markets

1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

1996Fractionally integrated generalized autoregressive conditional heteroskedasticity

1991Long-Term Memory in Stock Market Prices

1995Gaussian Semiparametric Estimation of Long Range Dependence

1989Long-term Memory in Stock Market Prices

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2004Modelling structural breaks, long memory and stock market volatility: an overview

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2010Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models

2006On discriminating between long-range dependence and changes in mean

2006Estimation of Hurst exponent revisited

2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets

2009Fractional Integration and Cointegration: An Overview and an Empirical Application

Details

Year2002

Typearticle

VenueJournal of Econometrics

Languageen

Files0 public / 0

Identifiers

doi10.1016/s0304-4076(02)00197-5

openalex_workW2163701744

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