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Long Memory and Structural Change
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Long Memory and Structural Change (2001)Long Memory and Structural ChangeA Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Long Memory Relationships and the Aggregation of Dynamic Models (2008)Long Memory Relationships and…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Evidence on Structural Instability in Macroeconomic Time Series Relations (1996)Evidence on Structural Instab…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Semiparametric Analysis of Long-Memory Time Series (1994)Semiparametric Analysis of Lo…Measuring Business Cycles: A Modern Perspective (1994)Measuring Business Cycles: A …Evidence on Structural Instability in Macroeconomic Time Series Relations (1994)Evidence on Structural Instab…Modeling long-run behavior with the fractional ARIMA model (1992)Modeling long-run behavior wi…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Long memory and persistence in aggregate output (1989)Long memory and persistence i…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…The Hurst Phenomenon: A puzzle? (1974)The Hurst Phenomenon: A puzzl…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Long memory in continuous‐time stochastic volatility models (1998)Modeling and Forecasting Realized Volatility (2001)Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)The federal funds rate and the channels of monetary transmission (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Instability of return prediction models (2006)Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data (2009)Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)The arbitrage theory of capital asset pricing (1976)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Separating microstructure noise from volatility (2005)Parametric and Nonparametric Volatility Measurement (2010)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1996Evidence on Structural Instability in Macroeconomic Time Series Relations617 cited
  • 1994Evidence on Structural Instability in Macroeconomic Time Series Relations600 cited
  • 1989Long memory and persistence in aggregate output546 cited
  • 1994Semiparametric Analysis of Long-Memory Time Series468 cited
  • 1994Measuring Business Cycles: A Modern Perspective363 cited
  • 2008Long Memory Relationships and the Aggregation of Dynamic Models357 cited
  • 1992Modeling long-run behavior with the fractional ARIMA model

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352 cited
  • 1974The Hurst Phenomenon: A puzzle?348 cited
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