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Theory and applications of long-range dependence
0 references·16 citing·55 second hopsampled
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  • 2007Bootstrap for Empirical Multifractal Analysis274 cited
  • 2006Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models266 cited
  • 2010Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation.250 cited
  • 2008Short-term predictability of crude oil markets: A detrended fluctuation analysis approach245 cited
  • 2007Nonstationarity-extended local Whittle estimation230 cited
  • 2008Structural breaks and GARCH models of exchange rate volatility222 cited
  • 2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
  • 2010Likelihood inference for a nonstationary fractional autoregressive model184 cited
  • 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND183 cited
  • 2006On discriminating between long-range dependence and changes in mean160 cited
  • 2006A practical guide to measuring the Hurst parameter151 cited
  • 2006Inequality Constraints in the Fractionally Integrated GARCH Model141 cited
  • 2006Fractional Lévy processes with an application to long memory moving average processes140 cited
  • 2005Long range dependence in financial markets131 cited

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  • 2004SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM130 cited
  • 2005Local Whittle estimation of fractional integration and some of its variants130 cited