A class of nearly long-memory time series models
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 18 (2002)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ijforecast
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
- Granger, Clive W.J. & Hyung, Namwon, 1999.
"Occasional Structural Breaks and Long Memory,"
University of California at San Diego, Economics Working Paper Series
qt4d60t4jh, Department of Economics, UC San Diego.
- William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
- Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, vol. 19(3), pages 399-430, August.
- Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics.
- Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics.
- Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
- Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- repec:hal:journl:halshs-00270708 is not listed on IDEAS
- Rehim Kilic, 2011. "A conditional variance tale from an emerging economy's freely floating exchange rate," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2465-2480.
- Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- repec:hal:journl:halshs-00187875 is not listed on IDEAS
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