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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. Gil-Alana, Luis A. & Chang, Shinhye & Balcilar, Mehmet & Aye, Goodness C. & Gupta, Rangan, 2015. "Persistence of precious metal prices: A fractional integration approach with structural breaks," Resources Policy, Elsevier, vol. 44(C), pages 57-64.
  2. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  3. Amine LAHIANI & Mohamed EL HEDI AROURI & Duc KHUONG NGUYEN, . "Forecasting the Conditional Volatility of Spot and Futures Oil Prices with Structural Breaks and Long Memory Models," EcoMod2010 259600102, EcoMod.
  4. 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 wp2008-007, Boston University - Department of Economics.
  5. Cristina Amado & Timo Teräsvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers 2012-07, School of Economics and Management, University of Aarhus.
  6. Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Long Memory in German Energy Price Indices," Discussion Papers of DIW Berlin 1186, DIW Berlin, German Institute for Economic Research.
  7. BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006. "Regime switching GARCH models," CORE Discussion Papers 2006011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
  9. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  10. Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.
  11. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
  12. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
  13. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris West - Nanterre la Défense, EconomiX.
  14. Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
  15. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2012. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 207-218.
  16. Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  17. 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.
  18. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  19. Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
  20. Messow, Philip & Krämer, Walter, 2013. "Spurious persistence in stochastic volatility," Economics Letters, Elsevier, vol. 121(2), pages 221-223.
  21. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series 2225, CESifo Group Munich.
  22. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
  23. Ke Yang & Langnan Chen & Fengping Tian, 2015. "Realized Volatility Forecast of Stock Index Under Structural Breaks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(1), pages 57-82, 01.
  24. Davide Delle Monache & Stefano Grassi & Paolo Santucci, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," Studies in Economics 1511, School of Economics, University of Kent.
  25. Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-32, May.
  26. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
  27. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
  28. Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 890, Banco de la Republica de Colombia.
  29. 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.
  30. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  31. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  32. Michael Funke & Chang Shu & Xiaoqiang Cheng & Sercan Eraslan, 2015. "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy," BIS Working Papers 492, Bank for International Settlements.
  33. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working Papers 1205, University of Nevada, Las Vegas , Department of Economics.
  34. Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012. "Testing for Persistence with Breaks and Outliers in South African House Prices," Working Papers 201233, University of Pretoria, Department of Economics.
  35. 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 2012005, The University of Sheffield, Department of Economics.
  36. Caporale, Barbara & Caporale, Tony, 2008. "Political risk and the expectations hypothesis," Economics Letters, Elsevier, vol. 100(2), pages 178-180, August.
  37. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany.
  38. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
  39. Muyi Li & Wai Keung Li & Guodong Li, 2013. "On Mixture Memory GARCH Models," Papers 2013-10-14, Journal.
  40. Chavez-Demoulin, V. & Embrechts, P. & Sardy, S., 2014. "Extreme-quantile tracking for financial time series," Journal of Econometrics, Elsevier, vol. 181(1), pages 44-52.
  41. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
  42. Xixin Cheng & Philip L. H. Yu & W. K. Li, 2009. "On a dynamic mixture GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 247-265.
  43. 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, vol. 40(C), pages 149-162.
  44. Massimiliano Caporin & Rangan Gupta, 2014. "Time-Varying Persistence in US Inflation," Working Papers 201457, University of Pretoria, Department of Economics.
  45. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  46. 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.
  47. Augustyniak, Maciej, 2014. "Maximum likelihood estimation of the Markov-switching GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 61-75.
  48. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  49. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 395-422.
  50. Tzouras, Spilios & Anagnostopoulos, Christoforos & McCoy, Emma, 2015. "Financial time series modeling using the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 50-68.
  51. Kim, Moosup & Lee, Taewook & Noh, Jungsik & Baek, Changryong, 2014. "Quasi-maximum likelihood estimation for multiple volatility shifts," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 50-60.
  52. 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, vol. 17(2), pages 112-124, April.
  53. Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1983-1990.
  54. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
  55. 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, vol. 29(10), pages 2655-2673, October.
  56. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, 06.
  57. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  58. Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015. "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP) dp-547, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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