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Properties of nonlinear transformations of fractionally integrated processes

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References

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2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
2023The impact of geopolitical risk on the behavior of oil prices and freight rates96 cited
2007Nonlinearities and Fractional Integration in the US Unemployment Rate*95 cited
2004Modelling Realized Variance when Returns are Serially Correlated48 cited
2009CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY35 cited
2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application31 cited
2012

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Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach

23 cited