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Citations for "Memory and infrequent breaks"

by Gourieroux, Christian & Jasiak, Joann

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  1. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  2. Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
  3. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
  4. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
  5. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  6. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series 1989, CESifo Group Munich.
  7. Silvestro Di Sanzo, 2007. "Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach," Working Papers 2007_03, Department of Economics, University of Venice "Ca' Foscari".
  8. Jensen, Mark J. & Liu, Ming, 2006. "Do long swings in the business cycle lead to strong persistence in output?," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 597-611, April.
  9. 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.
  10. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, School of Economics and Management, University of Aarhus.
  11. G Caggiano & L Leonida, . "International Output Convergence: Evidence from an AutoCorrelation Function Approach," Working Papers 2006_20, Business School - Economics, University of Glasgow.
  12. Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
  13. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
  14. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics.
  15. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
  16. repec:hal:wpaper:halshs-00722032 is not listed on IDEAS
  17. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  18. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
  19. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
  20. repec:hal:journl:halshs-00377485 is not listed on IDEAS
  21. Fillol, Jerome, 2007. "Estimating long memory: Scaling function vs Andrews and Guggenberger GPH," Economics Letters, Elsevier, vol. 95(2), pages 309-314, May.
  22. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  23. Ane, Thierry & Ureche-Rangau, Loredana, 2006. "Stock market dynamics in a regime-switching asymmetric power GARCH model," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 109-129.
  24. 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.
  25. Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas, 2005. "Renewal regime switching and stable limit laws," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 299-327.
  26. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
  27. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
  28. 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.
  29. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer, vol. 33(4), pages 364-375, October.
  30. 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.
  31. 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 wp2007-044, Boston University - Department of Economics.
  32. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.