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Long memory and regime switching · Study

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ArticleLong memory and regime switching

Francis X. Diebold2001

OA

Articlegreen2001

Long memory and regime switching

Francis X. Diebold · Atsushi Inoue

1,162 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Complex Systems and Time Series Analysis

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1997Modelling Extremal Events 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 2001The distribution of realized stock return volatility 2001The Distribution of Realized Exchange Rate Volatility 1996Long memory processes and fractional integration in econometrics

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2005Chapter 8 Growth Econometrics 2018Volatility Is Rough 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 2004A New Approach to Markov-Switching GARCH Models 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects 2010Parametric and Nonparametric Volatility Measurement

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2000Long Memory and Regime Switchingreport · 10 shared references 2005Breaks and persistency: macroeconomic causes of stock market volatilityarticle · 7 shared references 2017Combining long memory and level shifts in modelling and forecasting the volatility of asset returnsarticle · 7 shared references 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returnsarticle · 6 shared references 2008True or Spurious Long Memory? A New Testarticle · 6 shared references 2005An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time seriesarticle · 6 shared references

Details

Year2001

Typearticle

Published2001-11-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations1,162

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(01)00073-2

openalex_workW2184797284

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2008Realized Volatility: A Review

2008The Volatility of Realized Volatility