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Citations for "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects"

by Thomas Mikosch & Cătălin Stărică

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  1. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 105(1), pages 322-347.
  2. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  3. Juan Carlos Cuestas & Luis A. Gil-Alana & Karl Taylor, 2012. "Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro," Working Papers, The University of Sheffield, Department of Economics 2012005, The University of Sheffield, Department of Economics.
  4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series, CESifo Group Munich 2671, CESifo Group Munich.
  5. BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006. "Regime switching GARCH models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 126-142.
  7. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2007-044, Boston University - Department of Economics.
  8. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany.
  9. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers, HAL hal-00952951, HAL.
  10. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, Elsevier, vol. 38(4), pages 504-511.
  11. Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print, HAL hal-00940312, HAL.
  12. Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Long Memory in German Energy Price Indices," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 1186, DIW Berlin, German Institute for Economic Research.
  13. Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, Elsevier, vol. 25(C), pages 15-35.
  14. Chavez-Demoulin, V. & Embrechts, P. & Sardy, S., 2014. "Extreme-quantile tracking for financial time series," Journal of Econometrics, Elsevier, Elsevier, vol. 181(1), pages 44-52.
  15. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 07-15, HEC Montréal, Institut d'économie appliquée.
  16. Krämer, Walter, 2008. "Long memory with Markov-Switching GARCH," Economics Letters, Elsevier, Elsevier, vol. 99(2), pages 390-392, May.
  17. Mohamed El Hedi Arouri & Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen, 2013. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," Working Papers, HAL hal-00798033, HAL.
  18. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(10), pages 2655-2673, October.
  19. repec:wyi:journl:002190 is not listed on IDEAS
  20. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
  21. Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers, CIRANO 2011s-72, CIRANO.
  22. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-007, Boston University - Department of Economics.
  23. Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 283-293.
  24. Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, Elsevier, vol. 83(9), pages 1983-1990.
  25. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working Papers, University of Nevada, Las Vegas , Department of Economics 1205, University of Nevada, Las Vegas , Department of Economics.
  26. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  27. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(2), pages 395-422.
  28. Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012. "Testing for Persistence with Breaks and Outliers in South African House Prices," Working Papers, University of Pretoria, Department of Economics 201233, University of Pretoria, Department of Economics.
  29. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-01, School of Economics and Management, University of Aarhus.
  30. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(2), pages 112-124, April.
  31. Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 40(C), pages 149-162.
  32. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance, Stockholm School of Economics 563, Stockholm School of Economics, revised 03 Sep 2004.
  33. Kim, Moosup & Lee, Taewook & Noh, Jungsik & Baek, Changryong, 2014. "Quasi-maximum likelihood estimation for multiple volatility shifts," Statistics & Probability Letters, Elsevier, Elsevier, vol. 86(C), pages 50-60.
  34. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
  35. Xixin Cheng & Philip L. H. Yu & W. K. Li, 2009. "On a dynamic mixture GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 28(3), pages 247-265.
  36. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, Elsevier, vol. 121(1), pages 64-69.
  37. Caporale, Barbara & Caporale, Tony, 2008. "Political risk and the expectations hypothesis," Economics Letters, Elsevier, Elsevier, vol. 100(2), pages 178-180, August.
  38. Messow, Philip & Krämer, Walter, 2013. "Spurious persistence in stochastic volatility," Economics Letters, Elsevier, Elsevier, vol. 121(2), pages 221-223.
  39. Augustyniak, Maciej, 2014. "Maximum likelihood estimation of the Markov-switching GARCH model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 61-75.