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Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator

Citations

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Cited by:

  1. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  2. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
  3. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
  4. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
  5. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.
  6. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  7. John W. Galbraith & Greg Tkacz, 2007. "Forecast content and content horizons for some important macroeconomic time series," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 935-953, August.
  8. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  9. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
  10. Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2011. "Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria," NCID Working Papers 04/2011, Navarra Center for International Development, University of Navarra.
  11. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
  12. Gary Biglaiser & Ching-to Albert Ma, 2007. "Moonlighting: public service and private practice," RAND Journal of Economics, RAND Corporation, vol. 38(4), pages 1113-1133, December.
  13. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
  14. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  15. Ledesma, Sergio & Liu, Derong & Hernandez, Donato, 2007. "Two approximation methods to synthesize the power spectrum of fractional Gaussian noise," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1047-1062, October.
  16. Park, Cheolwoo & Godtliebsen, Fred & Taqqu, Murad & Stoev, Stilian & Marron, J.S., 2007. "Visualization and inference based on wavelet coefficients, SiZer and SiNos," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5994-6012, August.
  17. Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, April.
  18. Kucharczyk, Daniel & Wyłomańska, Agnieszka & Sikora, Grzegorz, 2018. "Variance change point detection for fractional Brownian motion based on the likelihood ratio test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 439-450.
  19. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  20. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, University Library of Munich, Germany.
  21. Dominique Guegan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Post-Print halshs-00187875, HAL.
  22. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, vol. 3(1), pages 1-53, January.
  23. Imen Zgueb Rejichi & Chaker Aloui & Duc Khuong Nguyen, 2014. "Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective," Working Papers 2014-78, Department of Research, Ipag Business School.
  24. repec:ipg:wpaper:2014-078 is not listed on IDEAS
  25. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  26. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
  27. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  28. Shang Han Lin, 2020. "A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-39, January.
  29. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  30. Juncal Cuñado & Alberiko Gil-Alana, Luis & Perez De Gracia, Fernando, 2011. "Modelling International Monthly Tourist in Spain/Modelización de llegadas mensuales de turistas a España," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 29, pages 723-736, Diciembre.
  31. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
  32. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale, 2015. "African Growth, Non-Linearities and Strong Dependence: An Empirical Study," NCID Working Papers 12/2015, Navarra Center for International Development, University of Navarra.
  33. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Working Papers 258, Barcelona School of Economics.
  34. R. K. Jana & Aviral Kumar Tiwari & Shawkat Hammoudeh, 2019. "The Inefficiency of Litecoin: A Dynamic Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 447-457, June.
  35. repec:ebl:ecbull:v:7:y:2007:i:1:p:1-11 is not listed on IDEAS
  36. Carlos Pestana Barros & Luis A. Gil-Alana, 2011. "Oil Prices: Persistence and Breaks," Faculty Working Papers 09/11, School of Economics and Business Administration, University of Navarra.
  37. Long Hai Vo & Duc Hong Vo, 2020. "Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data," Risks, MDPI, vol. 8(3), pages 1-16, August.
  38. Chih-Chiang Hsu, 2000. "Long Memory or Structural Change: Testing Method and Empirical Examination," Econometric Society World Congress 2000 Contributed Papers 0867, Econometric Society.
  39. Long Hai Vo & Duc Hong Vo, 2019. "Application of Wavelet-Based Maximum Likelihood Estimator in Measuring Market Risk for Fossil Fuel," Sustainability, MDPI, vol. 11(10), pages 1-19, May.
  40. Peipei Zhao & Mingan Shao & Tiejun Wang, 2010. "Spatial Distributions of Soil Surface-Layer Saturated Hydraulic Conductivity and Controlling Factors on Dam Farmlands," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 24(10), pages 2247-2266, August.
  41. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
  42. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
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