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Rescaled variance and related tests for long memory in volatility and levels

  • Giraitis, Liudas
  • Kokoszka, Piotr
  • Leipus, Remigijus
  • Teyssiere, Gilles

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(02)00197-5
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 112 (2003)
Issue (Month): 2 (February)
Pages: 265-294

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Handle: RePEc:eee:econom:v:112:y:2003:i:2:p:265-294
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Lee, Hyung S. & Amsler, Christine, 1997. "Consistency of the KPSS unit root test against fractionally integrated alternative," Economics Letters, Elsevier, vol. 55(2), pages 151-160, August.
  2. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
  3. Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285.
  4. Davidson, James, 2002. "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 243-269, February.
  5. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  6. Giraitis, L. & Kokoszka, P. & Leipus, R. & Teyssiere, G., 1999. "Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity," G.R.E.Q.A.M. 99a24, Universite Aix-Marseille III.
  7. KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002. "Microeconomic models for long-memory in the volatility of financial time series," CORE Discussion Papers 2002056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Ignacio N. Lobato & Peter M. Robinson, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 475-495.
  9. Goetzmann, William Nelson, 1993. "Patterns in Three Centuries of Stock Market Prices," The Journal of Business, University of Chicago Press, vol. 66(2), pages 249-70, April.
  10. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  11. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
  12. Cheung, Yin-Wong & Lai, Kon S, 1993. "Do Gold Market Returns Have Long Memory?," The Financial Review, Eastern Finance Association, vol. 28(2), pages 181-202, May.
  13. Peter M. Robinson & M. Henry, 1999. "Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels," LSE Research Online Documents on Economics 304, London School of Economics and Political Science, LSE Library.
  14. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  15. Hauser, Michael A, 1997. "Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study," Empirical Economics, Springer, vol. 22(2), pages 247-71.
  16. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics.
  17. Lee, D. & Schmidt, P., 1993. "On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives," Papers 9111, Michigan State - Econometrics and Economic Theory.
  18. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
  19. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  20. de Jong, R.M. & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
  21. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(01), pages 3-22, February.
  22. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
  23. Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
  24. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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