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Locally stationary long memory estimation

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Cited by:

  1. Antonakakis, Nikolaos & Chang, Tsangyao & Cunado, Juncal & Gupta, Rangan, 2018. "The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis," Finance Research Letters, Elsevier, vol. 24(C), pages 1-9.
  2. Maghyereh, Aktham & Abdoh, Hussein, 2022. "Extreme dependence between structural oil shocks and stock markets in GCC countries," Resources Policy, Elsevier, vol. 76(C).
  3. Fu, Hui & Chen, Wenting & He, Xin-Jiang, 2018. "On a class of estimation and test for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 906-920.
  4. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
  5. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
  6. Luisa Bisaglia & Matteo Grigoletto, 2018. "A new time-varying model for forecasting long-memory series," Papers 1812.07295, arXiv.org.
  7. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
  8. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.
  9. Vacha, Lukas & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2013. "Time–frequency dynamics of biofuel–fuel–food system," Energy Economics, Elsevier, vol. 40(C), pages 233-241.
  10. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2017. "Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 536-547.
  11. Shinhye Chang & Rangan Gupta & Stephen M. Miller, 2018. "Causality Between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(1), pages 269-289, January.
  12. Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  13. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  14. Boying Li & Chun-Ping Chang & Yin Chu & Bo Sui, 2020. "Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?," Energy & Environment, , vol. 31(3), pages 492-516, May.
  15. Jozef BARUNÍK & Lukáš VÁCHA, 2013. "Contagion among Central and Eastern European Stock Markets during the Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 443-453, November.
  16. Qin, Meng & Su, Chi-Wei & Hao, Lin-Na & Tao, Ran, 2020. "The stability of U.S. economic policy: Does it really matter for oil price?," Energy, Elsevier, vol. 198(C).
  17. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
  18. Maghyereh, Aktham & Abdoh, Hussein, 2021. "Time–frequency quantile dependence between Bitcoin and global equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  19. Chang, Shinhye & Gupta, Rangan & Miller, Stephen M. & Wohar, Mark E., 2019. "Growth volatility and inequality in the U.S.: A wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 48-73.
  20. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
  21. Luisa Bisaglia & Matteo Grigoletto, 2021. "A new time-varying model for forecasting long-memory series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 139-155, March.
  22. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
  23. Hathroubi, Salem & Aloui, Chaker, 2016. "On interactions between remittance outflows and Saudi Arabian macroeconomy: New evidence from wavelets," Economic Modelling, Elsevier, vol. 59(C), pages 32-45.
  24. Su, Chi-Wei & Khan, Khalid & Tao, Ran & Nicoleta-Claudia, Moldovan, 2019. "Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia," Energy, Elsevier, vol. 187(C).
  25. Sangram Keshari Jena & Aviral Kumar Tiwari & Shawkat Hammoudeh & Muhammad Shahbaz, 2020. "Dynamics of FII flows and stock market returns in a major developing country: How does economic uncertainty matter?," The World Economy, Wiley Blackwell, vol. 43(8), pages 2263-2284, August.
  26. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
  27. Deng-Kui SI & Xiao-Lin LI & Tsangyao CHANG & Lu BAI, 2018. "Co-movement and Causality between Nominal Exchange Rates and Interest Rate Differentials in BRICS Countries: A Wavelet Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-19, December.
  28. Ran TAO & Zheng-Zheng LI & Xiao-Lin LI & Chi-Wei SU, 2018. "A Reexamination of Friedman-Ball’s Hypothesis in Slovakia - Evidence from Wavelet Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 41-54, December.
  29. Shekhar Mishra & Avik Sinha & Arshian Sharif & Norazah Mohd Suki, 2020. "Dynamic linkages between tourism, transportation, growth and carbon emission in the USA: evidence from partial and multiple wavelet coherence," Current Issues in Tourism, Taylor & Francis Journals, vol. 23(21), pages 2733-2755, November.
  30. Loretta Mastroeni & Alessandro Mazzoccoli & Greta Quaresima & Pierluigi Vellucci, 2021. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Papers 2104.11891, arXiv.org, revised Mar 2022.
  31. Chi-Wei SU & Zong-Liang YAO & Hsu-Ling CHANG, 2016. "The relationship between output and asset prices: A time – and frequency – varying approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(606), S), pages 57-76, Spring.
  32. Stefan Birr & Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2016. "On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities," Working Papers ECARES ECARES 2016-38, ULB -- Universite Libre de Bruxelles.
  33. Boubaker Heni & Canarella Giorgio & Gupta Rangan & Miller Stephen M., 2017. "Time-varying persistence of inflation: evidence from a wavelet-based approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
  34. Su, Chi-Wei & Khan, Khalid & Tao, Ran & Umar, Muhammad, 2020. "A review of resource curse burden on inflation in Venezuela," Energy, Elsevier, vol. 204(C).
  35. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2022. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Resources Policy, Elsevier, vol. 77(C).
  36. Aktham Maghyereh & Hussein Abdoh, 2022. "COVID-19 and the volatility interlinkage between bitcoin and financial assets," Empirical Economics, Springer, vol. 63(6), pages 2875-2901, December.
  37. Jiang, Chun & Chang, Tsangyao & Li, Xiao-Lin, 2015. "Money growth and inflation in China: New evidence from a wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 249-261.
  38. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
  39. Si, Deng-Kui & Liu, Xi-Hua & Kong, Xianli, 2019. "The comovement and causality between stock market cycle and business cycle in China: Evidence from a wavelet analysis," Economic Modelling, Elsevier, vol. 83(C), pages 17-30.
  40. Sun, Qi & Xu, Weidong, 2018. "Wavelet analysis of the co-movement and lead–lag effect among multi-markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 489-499.
  41. Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
  42. Anand, B. & Paul, Sunil & Ramachandran, M., 2014. "Volatility Spillover between Oil and Stock Market Returns," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 49(1), pages 37-56.
  43. Pejman Bahramian & Andisheh Saliminezhad, 2021. "Does Capacity Utilization Predict Inflation? A Wavelet Based Evidence from United States," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1103-1125, December.
  44. Li, Xin & Su, Chi-Wei & Chang, Hsu-Ling & Ma, Ji, 2018. "Do short-term international capital movements play a role in exchange rate and stock price transmission mechanism in China?," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 15-25.
  45. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
  46. Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
  47. Alisa Kazakova & Insin Kim, 2021. "Geopolitical-Risk and Economic Policy—Uncertainty Impacts on Tourist Flows from Neighboring Countries: A Wavelet Analysis," Sustainability, MDPI, vol. 13(24), pages 1-13, December.
  48. Tiwari, Aviral Kumar & Khalfaoui, Rabeh & Solarin, Sakiru Adebola & Shahbaz, Muhammad, 2018. "Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities," Energy Economics, Elsevier, vol. 76(C), pages 470-494.
  49. Ben-Salha, Ousama & Hkiri, Besma & Aloui, Chaker, 2018. "Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach," Energy Economics, Elsevier, vol. 72(C), pages 75-96.
  50. Cheng-Feng Wu & Fangjhy Li & Hsin-Pei Hsueh & Chien-Ming Wang & Meng-Chen Lin & Tsangyao Chang, 2020. "A Dynamic Relationship between Environmental Degradation, Healthcare Expenditure and Economic Growth in Wavelet Analysis: Empirical Evidence from Taiwan," IJERPH, MDPI, vol. 17(4), pages 1-17, February.
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