A class of nearly long-memory time series models
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References listed on IDEAS
- Clive W.J. Granger & Namwon Hyung, 2013.
"Occasional Structural Breaks and Long Memory,"
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- Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
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- repec:hal:journl:halshs-00187875 is not listed on IDEAS
- 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.
- Adnen Ben Nasr & Ahdi Noomen Ajmi & Rangan Gupta, 2014.
"Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 24(14), pages 993-1004, July.
- 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.
- 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.
- 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, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
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