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Generalized impulse response analysis in a fractionally integrated vector autoregressive model
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Generalized impulse response analysis in a fractionally integrated vector autoregressive model (2012)Generalized impulse response analysis in …Gaussian semiparametric estimation of multivariate fractionally integrated processes (2006)Gaussian semiparametric estim…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…Calculating and analyzing impulse responses for the vector ARFIMA model (2001)Calculating and analyzing imp…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Macroeconomics and Reality (1980)Macroeconomics and RealityFractional 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)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Time Series Analysis: Forecasting and Control (1977)The detection and estimation of long memory in stochastic volatility (1998)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Linkages between international stock markets: A multivariate long-memory approach (2009)Time series analysis of intensive longitudinal data in psychosomatic research: A methodological overview (2020)Gaussian Semiparametric Estimation of Long Range Dependence (1995)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Theory and applications of long-range dependence (2003)How does trading volume affect financial return distributions? (2014)Volatility spillover between the US, Chinese and Australian stock markets (2017)Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19 (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)Separating microstructure noise from volatility (2005)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • 2006Gaussian semiparametric estimation of multivariate fractionally integrated processes83 cited
  • 2001Calculating and analyzing impulse responses for the vector ARFIMA model24 cited

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