Search Results

A Note On Long Memory Time Series,
Claude Diebolt and Vivien Guiraud, in Quality & Quantity: International Journal of Methodology (2005)
Keywords: fractional integration, long memory,

Identification of long memory in GARCH models,
Massimiliano Caporin, in Statistical Methods & Applications (2003)
Keywords: FIGARCH, long memory, identification

Analysing long memory and asymmetries,
Matti Vir, in The European Journal of Finance (2000)
Keywords: Long Memory Forecasting Nonlinear Models,

unilateral and bilateral bootstrap tests for long memory,
Christian de Peretti, from Society for Computational Economics (2002)
Keywords: bootstrap, long memory, test

Long memory of volatility measures in time series,
Tomasz Wójtowicz and Henryk Gurgul, in Operations Research and Decisions (2009)
Keywords: FIGARCH, long memory, simulations

The Long Memory of Equity Volatility: International Evidence,
Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2017)
Keywords: International; Long Memory; Volatility

The Long Memory of Equity Volatility and the Macroeconomy: International Evidence,
Lena Dräger, Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2020)
Keywords: International; Long Memory; Volatility

Variance-type estimation of long memory,
Liudas Giraitis, Peter M. Robinson and Donatas Surgailis, in Stochastic Processes and their Applications (1999)
Keywords: Long memory Aggregation Semiparametric model

Long memory with Markov-Switching GARCH,
Walter Krämer, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006)
Keywords: Markov switching, GARCH, long memory

Variance-type estimation of long memory,
Liudas Giraitis and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (1998)
Keywords: Long memory; aggregation; semiparametric model

Long Memory with Markov-Switching GARCH,
Walter Kraemer, from CESifo (2008)
Keywords: Markov switching, GARCH, long memory

A Note on Long Memory Time Series,
Claude Diebolt and Vivien Guiraud, from HAL (2005)
Keywords: Cliometrics,Fractional integration,Long memory

Long memory with Markov-Switching GARCH,
Walter Krämer, from Business and Social Statistics Department, Technische Universität Dortmund (2006)
Keywords: Markov switching, GARCH, long memory

LONG MEMORY IN STOCK TRADING,
Andrei Leonidov, in International Journal of Theoretical and Applied Finance (IJTAF) (2004)
Keywords: Econophysics, continuous time random walk, long memory

Learning generates Long Memory,
Guillaume Chevillon and Sophocles Mavroeidis, from HAL (2013)
Keywords: Learning,Long Memory,Persistence,Present-Value Models

Block Bootstrap and Long Memory,
George Kapetanios and Fotis Papailias, from Queen Mary University of London, School of Economics and Finance (2011)
Keywords: Block Bootstrap, Long memory; Resampling, Strong dependence

Learning generates Long Memory,
Guillaume Chevillon and Sophocles Mavroeidis, from ESSEC Research Center, ESSEC Business School (2011)
Keywords: Learning; Long Memory; Persistence; Present-Value Models

On the estimation of short memory components in long memory time series models,
Baillie Richard T. and George Kapetanios, in Studies in Nonlinear Dynamics & Econometrics (2016)
Keywords: long memory, nonlinear, time series

A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes,
George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2004)
Keywords: Long memory, Bootstrap

Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation,
Kyongwook Choi and Eric Zivot, from University Library of Munich, Germany (2003)
Keywords: Long memory, Structural Changes

The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics,
Luis Gil-Alana, in Economia Internazionale / International Economics (2003)
Keywords: Unemployment; seasonality; long memory

A note on Michelacci and Zaffaroni, long memory, and time series of economic growth,
Bart Verspagen and Gerald Silverberg, from Eindhoven Center for Innovation Studies (2000)
Keywords: long memory, economic growth

Detecting long memory co-movements in macroeconomic time series,
Gianluca Moretti, from Bank of Italy, Economic Research and International Relations Area (2007)
Keywords: Cointegration analysis, long memory

A Multivariate Test Against Spurious Long Memory,
Philipp Sibbertsen, Christian Leschinski and Marie Holzhausen, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2015)
Keywords: Multivariate Long Memory, Semiparametric Estimation, Spurious Long Memory, Volatility

Long Memory in the Oil Market: A Spectral Approach,
Yuri Balagula and Yulia Abakumova, from European University at St. Petersburg, Department of Economics (2011)
Keywords: econometrics, long memory, oil price

Long Memory Models and Tests for Cointegration: A Synthesizing Study,
Aaron Smallwood and Stefan Norrbin, from Society for Computational Economics (2003)
Keywords: long memory, cointegration,GARMA models

Testing for structural change in regression with long memory processes,
Stepana Lazarova, from Econometric Society (2004)
Keywords: Structural change, long memory, bootstrap

Long-memory exchange rate dynamics in the euro era,
John T. Barkoulas, Anthony G. Barilla and William Wells, in Chaos, Solitons & Fractals (2016)
Keywords: Long memory; Cointegration; Exchange rates;

Habit and long memory in UK lottery sales,
I.G. McHale and David Peel, in Economics Letters (2010)
Keywords: Long memory Fractional integration Lottery

Structural Change and long memory in the GARCH(1,1)-model,
Baudouin Tameze Azamo and Walter Krämer, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006)
Keywords: structural change, long memory, GARCH

Semiparametric inference in seasonal and cyclical long memory processes,
Josu Arteche and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (1998)
Keywords: Semiparametric inference; long memory; seasonality

A test of long memory hypothesis based on self-similarity,
Dooruj Rambaccussing and James Davidson, from Scottish Institute for Research in Economics (SIRE) (2015)
Keywords: long memory, self-similarity, bootstrap

Long Memory, Fractional Integration, and Cross-Sectional Aggregation,
Niels Haldrup and J. Eduardo Vera-Valdés, from Department of Economics and Business Economics, Aarhus University (2015)
Keywords: Long memory, Fractional Integration, Aggregation

Long memory, fractional integration, and cross-sectional aggregation,
Niels Haldrup and J. Eduardo Vera Valdés, in Journal of Econometrics (2017)
Keywords: Long memory; Fractional integration; Aggregation;

Long-memory versus structural breaks: An overview,
Philipp Sibbertsen, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2001)
Keywords: Long memory, structural breaks, trends

Estimation of mis-specified long memory models,
Willa Chen and Rohit Deo, from University Library of Munich, Germany (2005)
Keywords: long memory, model mis-specification

Long Memory in US Real Output per Capita,
Guglielmo Maria Caporale and Luis Gil-Alana, from CESifo (2009)
Keywords: fractional integration, long memory, convergence

Long memory versus structural breaks: An overview,
Philipp Sibbertsen, in Statistical Papers (2004)
Keywords: Long memory, structural breaks, trends,

Long Memory in US Real Output per Capita,
Guglielmo Maria Caporale and Luis Gil-Alana, from DIW Berlin, German Institute for Economic Research (2009)
Keywords: Fractional Integration, Long Memory, Convergence

The Forecast Performance of Long Memory and Markov Switching Models,
Vasco Gabriel and Luis Martins, from NIPE - Universidade do Minho (2000)
Keywords: Long Memory; Structural change; Forecasting

A test of the long memory hypothesis based on self-similarity,
James Davidson and Dooruj Rambaccussing, from Economic Studies, University of Dundee (2015)
Keywords: Long Memory, Self-similarity, Bootstrap

Long Memory Analysis: An Empirical Investigation,
Rafik Nazarian, Esmaeil Naderi, Nadiya Gandali Alikhani and Ashkan Amiri, from University Library of Munich, Germany (2013)
Keywords: Stock Market, Long Memory, ARFIMA, FIGARCH

Long-memory in an order-driven market,
Blake Lebaron and Ryuichi Yamamoto, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Microstructure; Agent-based; Long-memory; Order flow;

Nonparametric regression with long-memory errors,
Rohit Deo, in Statistics & Probability Letters (1997)
Keywords: Long memory Nonparametric regression Kernel estimators

Long-memory volatility in derivative hedging,
Abby Tan, in Physica A: Statistical Mechanics and its Applications (2006)
Keywords: Long memory; Stochastic volatility; Derivative hedging;

Occasional Structural Breaks and Long Memory,
Clive Granger and Namwon Hyung, from Department of Economics, UC San Diego (1999)
Keywords: occasional structural breaks, long memory, autocorrelation

Long memory analysis in DNA sequences,
S.R.C. Lopes and M.A. Nunes, in Physica A: Statistical Mechanics and its Applications (2006)
Keywords: Long memory; DNA sequences; Empirical confidence intervals;

Long Memory Analysis: An Empirical Investigation,
Rafik Nazarian, Esmaeil Naderi, Nadiya G. Alikhani and Ashkan Amiri, in International Journal of Economics and Financial Issues (2014)
Keywords: stock market; long memory; ARFIMA; FIGARCH

A Smooth Transition Long-Memory Model,
Marcel Aloy, Gilles Dufrénot, Charles Lai-Tong and Anne Peguin-Feissolle, from HAL (2012)
Keywords: time varying parameter,nonlinearity,Long-memory,logistic

Tests of Long Memory: A Bootstrap Approach,
Pilar Grau, in Computational Economics (2005)
Keywords: long-memory tests, bootstrap, time series,

A Smooth Transition Long-Memory Model,
Marcel Aloy, Gilles Dufrénot, Charles Lai Tong and Anne Péguin-Feissolle, from Aix-Marseille School of Economics, France (2012)
Keywords: Long-memory, nonlinearity, time varying parameter, logistic.

LARCH, leverage and long memory,
Liudas Giraitis, Remigijus Leipus, Peter M. Robinson and Donatas Surgailis, from London School of Economics and Political Science, LSE Library (2003)
Keywords: Leverage; long memory; linear ARCH; LARCH; finiteness of moments

Seasonal and cyclical long memory,
Josu Arteche and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (1998)
Keywords: Long memory; seasonal time series; cyclic time series.

Long memory and changing persistence,
Robinson Kruse and Philipp Sibbertsen, in Economics Letters (2012)
Keywords: Long memory; Changing persistence; Structural break; Semi-parametric estimation;

Long memory and changing persistence,
Robinson Kruse and Philipp Sibbertsen, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Long memory, changing persistence, structural break, semi-parametric estimation

Long Memory Options: Valuation,
Sutthisit Jamdee and Cornelis Los, from University Library of Munich, Germany (2004)
Keywords: Options, Long Memory, Persistence, Hurst Exponent, Executive Remuneration

LARCH, Leverage and Long Memory,
Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis, from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003)
Keywords: Leverage, long memory, linear ARCH, LARCH, finiteness of moments.

Long memory and changing persistence,
Robinson Kruse and Philipp Sibbertsen, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2010)
Keywords: Long memory; changing persistence; structural break; semi-parametric estimation

Long memory via networking,
Susanne Schennach, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018)
Keywords: Long memory, fractionally integrated processes, spectral dimension, networks, fractals.

Bootstrapping long memory time series: Application in low frequency estimators,
Josu Arteche, in Econometrics and Statistics (2024)
Keywords: Long memory; Bootstrap; Memory parameter estimation;

Long memory and long run variation,
Peter Phillips, in Journal of Econometrics (2009)
Keywords: Asymptotic expansion Autocovariance function Fractional pole Fourier integral Generalized function Long memory Long range dependence Singularity

Long Memory and Long Run Variation,
Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2008)
Keywords: Asymptotic expansion, Autocovariance function, Fractional pole, Fourier integral, Generalized function, Long memory, Long range dependence, Singularity

Long memory and shifts in the unconditional variance in the exchange rate euro/us dollar returns,
Leïla Nouira, Ibrahim Ahamada, Jamel Jouini and Alain Nurbel, from HAL (2004)
Keywords: long memory,nonstationariry

Long memory and shifts in the unconditional variance in the exchange rate euro/us dollar returns,
Leïla Nouira, Ibrahim Ahamada, Jamel Jouini and Alain Nurbel, from HAL (2004)
Keywords: long memory,nonstationariry

Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels,
Peter M. Robinson and Marc Henry, from London School of Economics and Political Science, LSE Library (1998)
Keywords: long memory; dynamic conditional heteroscedasticity; semiparametric estimation.

Log-periodogram estimation of the memory parameter of a long-memory process under trend,
Philipp Sibbertsen, in Statistics & Probability Letters (2003)
Keywords: Long memory Trends Log-periodogram regression

Log-periodogram estimation of the memory parameter of a long-memory process under trend,
Philipp Sibbertsen, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2001)
Keywords: Long-memory, trends, log-periodogram regression

Anti-persistence and long-memory behaviour of SAREITs,
Kolawole Ijasan, George Tweneboah and Jones Odei-Mensah, in Journal of Property Investment & Finance (2017)
Keywords: Long memory, ARFIMA, Anti-persistence, JSE, SAREITs, Short memory

Long Memory in Volatility. An Investigation on the Central and Eastern European Exchange Rates,
Gabriel Bobeica and Elena Bojesteanu, in European Research Studies Journal (2008)
Keywords: long memory, volatility, GARCH models

Long memory or structural break: evidence from the Tehran stock market,
Mansoor Kashi, Seyed Hasan Hosseini, Ammar Arabi Jeshvaghani and Mansour Kheirgoo, in International Journal of Procurement Management (2019)
Keywords: autocorrelation; structural break; long memory.

Long Memory in Mergers and Acquisitions: Sectoral Evidence for an Emerging Economy,
Marcelo Resende, in Economics Bulletin (2012)
Keywords: mergers and acquisitions, long memory, persistence

Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory,
Liudas Giraitis, Donatas Surgailis and Andrius Škarnulis, from Queen Mary University of London, School of Economics and Finance (2015)
Keywords: AR, FIGARCH, IARCH, Long memory

Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models,
Taisei Kaizoji and Thomas Lux, from Society for Computational Economics (2004)
Keywords: long memory models, volume, volatility

Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks,
Elie Bouri, Luis Gil-Alana, Rangan Gupta and David Roubaud, from University of Pretoria, Department of Economics (2016)
Keywords: Bitcoin, Long memory, Structural Breaks

WHITTLE: Stata module to compute long-memory parameter via Whittle method,
Christopher Baum, Stan Hurn and Kenneth Lindsay, from Boston College Department of Economics (2023)
Keywords: long memory, Whittle, fractional integration

Long - Memory Persistence in African Stock Markets,
Emmanuel Numapau Gyamfi, Kwabena Kyei and Kwabena Kyei, in EuroEconomica (2016)
Keywords: Long – memory; Hurst exponent; DFA; Market efficiency

Stock prices' long memory in China and the United States,
Zhengxun Tan, Yao Fu, Hong Cheng and Juan Liu, in International Journal of Emerging Markets (2020)
Keywords: Long memory, Structural break, The efficient market hypothesis

LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING,
Sergei Fedotov and Abby Tan, in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
Keywords: Long memory, stochastic volatility, option pricing

WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS,
Anouar Ben Mabrouk, Hedi Kortas and Samir Ben Ammou, in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
Keywords: Wavelets, long memory, stock market, volatility

Forecasting with non Gaussian long memory processes,
Dominique Guegan and Jerome Collet, from HAL (2003)
Keywords: Long memory processes,Forecasting,Estimation theory

Can Markov switching model generate long memory?,
Changryong Baek, Natércia Fortuna and Vladas Pipiras, in Economics Letters (2014)
Keywords: Markov switching model; Long memory; Changes in mean;

Long memory in the Croatian and Hungarian stock market returns,
Mejra Festic, Alenka Kavkler and Silvo Dajcman, in Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics (2012)
Keywords: stock market, long memory, efficient-market hypothesis

EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA,
Anju Bala and Kapil Gupta, in Copernican Journal of Finance & Accounting (2020)
Keywords: emerging market; long memory; persistence and market efficiency

Long memory in patterns of mobile phone usage,
Marcin Owczarczuk, in Physica A: Statistical Mechanics and its Applications (2012)
Keywords: Long memory; Hurst exponent; Mobile; Telecommunication;

The long memory and the transaction cost in financial markets,
Daye Li, Yusaku Nishimura and Ming Men, in Physica A: Statistical Mechanics and its Applications (2016)
Keywords: Transaction cost; Long-term memory; Market efficiency;

A modified test against spurious long memory,
Robinson Kruse, in Economics Letters (2015)
Keywords: Long memory; Structural breaks; Fractional differencing;

Estimating a change point in the long memory parameter,
Keiko Yamaguchi and 圭子 山口, from Graduate School of Economics, Hitotsubashi University (2010)
Keywords: Break in persistence, long memory, change point

Effect of Moments on Aggregation and Long Memory in Inflation,
Kenneth Hightower and Taner Yigit, from Econometric Society (2004)
Keywords: Long Memory, Heterogeneous Inflation Expectations, Inflation Targeting

Long Memory in the Turkish Stock Market Return and Volatility,
Adnan Kasman and Erdost Torun, in Central Bank Review (2007)
Keywords: ARFIMA, FIGARCH, Long memory, Turkish stock market

Investigating the Long time Memory in the Future Market of Gold,
Mohsen Mehrara, Nafiseh Behradmehr and Mitra Saboonchi, in International Journal of Financial Economics (2013)
Keywords: ARFIMA, Efficiency, Long memory, gold Future market