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A multivariate test against spurious long memory
16 references·0 citing·45 second hop
A multivariate test against spurious long memory (2017)A multivariate test against spurious long…Long-Memory Processes (2013)Long-Memory ProcessesModelling and Forecasting Multivariate Realized Volatility (2011)Modelling and Forecasting Mul…Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2009)Long-Memory and Level Shifts …True or Spurious Long Memory? A New Test (2008)True or Spurious Long Memory?…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…Determination of cointegrating rank in fractional systems (2002)Determination of cointegratin…Long memory and regime switching (2001)Long memory and regime switch…Least‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)Least‐squares Estimation of a…Stochastic Permanent Breaks (1999)Stochastic Permanent BreaksAlternative forms of fractional Brownian motion (1999)Alternative forms of fraction…Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Real and Spurious Long-Memory…Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Real and Spurious Long-Memory…Varieties of long memory models (1996)Varieties of long memory mode…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Portfolio Selection (1952)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)On the forecasting accuracy of multivariate GARCH models (2011)The conditional autoregressive Wishart model for multivariate stock market volatility (2011)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)A long memory property of stock market returns and a new model (1993)Correlations in economic time series (1997)Properties of moments of a family of GARCH processes (1999)Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Introduction to Stochastic Programming (2011)Long-Term Memory in Stock Market Prices (1991)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Agent-based models of financial markets (2007)Fractional integration and structural breaks at unknown periods of time (2007)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Introduction to Time Series and Forecasting (2002)Forecasting volatility of crude oil markets (2008)The Volatility of Realized Volatility (2008)Modelling Nonlinear Economic Time Series (2010)Comparing Predictive Accuracy (1994)Electricity consumption and economic growth in China: Cointegration and co-feature analysis (2006)Volatility Is Rough (2018)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Chapter 8 Growth Econometrics (2005)Long-term Memory in Stock Market Prices (1989)Statistics for Long-Memory Processes. (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Estimation and interpretation of 1/fα noise in human cognition (2004)Statistics in Musicology (2003)A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 (2017)A Global-Scale Investigation of Stochastic Similarities in Marginal Distribution and Dependence Structure of Key Hydrological-Cycle Processes (2021)
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References

  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 2001Long memory and regime switching1,162 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2013Long-Memory Processes435 cited
  • 1996Varieties of long memory models425 cited
  • 1998Real and Spurious Long-Memory Properties of Stock-Market Data332 cited
  • 1998Real and Spurious Long-Memory Properties of Stock-Market Data327 cited
  • 2011Modelling and Forecasting Multivariate Realized Volatility294 cited
  • 1999Alternative forms of fractional Brownian motion289 cited
  • 2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series276 cited
  • 2002Determination of cointegrating rank in fractional systems241 cited
  • 1999Stochastic Permanent Breaks186 cited
  • 2008True or Spurious Long Memory? A New Test185 cited
  • 2009

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Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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