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ArticleA multivariate test against spurious long memory

Philipp Sibbertsen2017

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Articlegreen2017

A multivariate test against spurious long memory

Philipp Sibbertsen · Christian Leschinski · Marie Busch

21 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

2008A Simple Approximate Long-Memory Model of Realized Volatility 1995Gaussian Semiparametric Estimation of Long Range Dependence 2001Long memory and regime switching 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects 2013Long-Memory Processes 1996Varieties of long memory models 1998Real and Spurious Long-Memory Properties of Stock-Market Data

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Year2017

Typearticle

Published2017-12-21

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2017.07.005

openalex_workW827733939

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