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State space modeling of Gegenbauer processes with long memory,
G.S. Dissanayake, M.S. Peiris and Tommaso Proietti,
in Computational Statistics & Data Analysis
(2016)
Keywords: Long memory; Gegenbauer processes; State space models;
R-Squared-Bootstrapping for Gegenbauer-Type Long Memory,
Yixun Xing and Wayne A. Woodward,
in Computational Economics
(2021)
Keywords: Long memory, Gegenbauer, R-squared, Parametric resampling, Power
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications,
Phillip Andrew, Chan Jennifer S.K. and Peiris Shelton,
in Studies in Nonlinear Dynamics & Econometrics
(2018)
Keywords: Gegenbauer, long memory, MCMC, stochastic volatility, time series
Realized stochastic volatility models with generalized Gegenbauer long memory,
Manabu Asai, Michael McAleer and Shelton Peiris,
in Econometrics and Statistics
(2020)
Keywords: Stochastic volatility; Realized volatility measure; Long memory; Gegenbauer polynomial; Seasonality; Whittle likelihood;
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory,
Manabu Asai, Michael McAleer and Shelton Peiris,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2017)
Keywords: Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Poly-nomial, Seasonality, Whittle Likelihood
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory,
Manabu Asai, Michael McAleer and Shelton Peiris,
from Tinbergen Institute
(2017)
Keywords: Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Polynomial, Seasonality, Whittle Likelihood
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory,
Manabu Asai, Shelton Peiris and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2017)
Keywords: Stochastic Volatility; Realized Volatility Measure; Long Memory; Gegenbauer Polynomial; Seasonality; Whittle Likelihood.
On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin,
Andrew Phillip, Jennifer Chan and Shelton Peiris,
in Econometrics and Statistics
(2020)
Keywords: Gegenbauer long memory; Stochastic volatility; Leverage; Heavy tails; Cryptocurrency; Bitcoin;
The memory of ENSO revisited by a 2-factor Gegenbauer process,
Audrey Lustig, Philippe Charlot and Vêlayoudom Marimoutou,
from HAL
(2017)
Keywords: Gegenbauer process, ENSO, stationarity, long-memory processes, time series
Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994,
Guglielmo Maria Caporale and Luis Gil-Alana,
in Empirical Economics
(2006)
Keywords: Gegenbauer processes, Fractional cycles, Long memory, C22,
Non-mixing properties of long memory processes,
Dominique Guegan and Sophie A. Ladoucette,
from HAL
(2001)
Keywords: long memory processes,the k-factor Gegenbauer processes,non-mixing properties
Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training,
Jan Beran, Jeremy Näscher, Fabian Pietsch and Stephan Walterspacher,
in AStA Advances in Statistical Analysis
(2024)
Keywords: Cyclic long memory, Periodicity, Deterministic periodicity, Periodogram, Gegenbauer process
Cointegrated Dynamics for A Generalized Long Memory Process,
Manabu Asai, Shelton Peiris, Michael McAleer and David Allen,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2018)
Keywords: Long Memory Processes, Gegenbauer Process, Dickey-Fuller Tests, Cointegration, Differencing, Interest Rates
Model order selection in periodic long memory models,
Christian Leschinski and Philipp Sibbertsen,
in Econometrics and Statistics
(2019)
Keywords: Seasonal long memory; k-factor Gegenbauer processes; Model selection; Electricity loads;
Long Run and Cyclical Dynamics in the US Stock Market,
Guglielmo Maria Caporale and Luis Gil-Alana,
from CESifo
(2007)
Keywords: stock market, fractional cycles, long memory, Gegenbauer processes
Long-run and Cyclical Dynamics in the US Stock Market,
Luis Gil-Alana and Guglielmo Maria Caporale,
from Econometric Society
(2004)
Keywords: Stock Market, Fractional Cycles, Long Memory, Gegenbauer Processes
Long-run and Cyclical Dynamics in the US Stock Market,
Guglielmo Maria Caporale and Luis Gil-Alana,
from Institute for Advanced Studies
(2004)
Keywords: Stock market, Fractional cycles, Long memory, Gegenbauer processes
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,
Shelton Peiris, Manabu Asai and Michael McAleer,
in JRFM
(2017)
Keywords: stochastic volatility; GARCH models; Gegenbauer polynomial; long memory; spectral likelihood; estimation; forecasting
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates,
Manabu Asai, Peiris Shelton, Michael McAleer and David Allen,
in Journal of Time Series Econometrics
(2020)
Keywords: long memory processes, Gegenbauer process, Dickey–Fuller Tests, cointegration, differencing, interest rates
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,
Shelton Peiris, Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2016)
Keywords: Stochastic volatility, GARCH models, Gegenbauer Polynomial, Long Memory, Spectral Likelihood, Estimation, Forecasting
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,
Shelton Peiris, Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2016)
Keywords: Stochastic volatility, GARCH models, Gegenbauer Polynomial, Long Memory, Spectral Likelihood, Estimation, Forecasting
Estimating and forecasting generalized fractional Long memory stochastic volatility models,
Shelton Peiris, Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2016)
Keywords: Stochastic volatility, GARCH models, Gegenbauer Polynomial, Long Memory, Spectral Likelihood, Estimation, Forecasting.
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates,
Manabu Asai, Shelton Peiris, Michael McAleer and David Allen,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2018)
Keywords: Long Memory Processes; Gegenbauer Process; Dickey-Fuller Tests; Cointegration; Differencing; Interest Rates.
Forecasting with k-factor Gegenbauer Processes: Theory and Applications,
Laurent Ferrara and Dominique Guegan,
from HAL
(2001)
Keywords: long memory,k-factor Gegenbauer process,prediction function,prediction error,urban transport traffic
Computation of the autocovariances for time series with multiple long-range persistencies,
Tucker McElroy and Scott H. Holan,
in Computational Statistics & Data Analysis
(2016)
Keywords: Gegenbauer; Long memory; Long-range dependence; Quasi-biennial oscillations; Seasonal long memory; Spectral density;
On the power of R/S-type tests under contiguous and semi long memory alternatives,
Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus and Gilles Teyssière,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2002)
Keywords: long-memory, Gegenbauer process, ARCH processes, linear ARCH, semi long memory, modified R/S statistic, KPSS statistic, V/S statistic
Origins of Spurious Long Memory,
Christian Leschinski and Philipp Sibbertsen,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2017)
Keywords: Long Memory; Spurious Long Memory; Structural Change
The correlogram of a long memory process plus a simple noise,
Clive Granger and Francesc Marmol,
from Universidad Carlos III de Madrid. Departamento de EstadÃstica
(1998)
Keywords: Long-memory
Modelling and Detecting Long Memory in Stock Returns,
Ciprian Necula,
from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB
(2008)
Keywords: Long Memory
Spatial long memory,
Peter Robinson,
from London School of Economics and Political Science, LSE Library
(2019)
Keywords: spatial data; long memory
Modelling Long Memory in REITs,
John Cotter,
from Geary Institute, University College Dublin
(2011)
Keywords: Long Memory, FGARCH, REITs
The Periodogram of Spurious Long-Memory Processes,
Christian Leschinski and Philipp Sibbertsen,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2018)
Keywords: Long Memory; Spurious Long Memory; Structural Change
The scaling function-based estimator of the long memory parameter: a comparative study,
Jérôme Fillol and Fabien Tripier,
in Economics Bulletin
(2003)
Keywords: Long memory
The long memory of newspapers' subscriptions: between the short-run and persistence response,
Jose Vidal-Sanz,
from Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa
(2007)
Keywords: Long-memory
Long-Run Neutrality in a Long-Memory Model,
SangKun Bae and Mark Jensen,
from University Library of Munich, Germany
(1999)
Keywords: Long-Memory, Long-Run Neutrality
A Note On Long Memory Time Series,
Claude Diebolt and Vivien Guiraud,
in Quality & Quantity: International Journal of Methodology
(2005)
Keywords: fractional integration, long memory,
Nonlinear Autoregressive Models and Long Memory,
George Kapetanios,
from Queen Mary University of London, School of Economics and Finance
(2004)
Keywords: Long memory, Nonlinearity
Identification of long memory in GARCH models,
Massimiliano Caporin,
in Statistical Methods & Applications
(2003)
Keywords: FIGARCH, long memory, identification
Analysing long memory and asymmetries,
Matti Vir,
in The European Journal of Finance
(2000)
Keywords: Long Memory Forecasting Nonlinear Models,
unilateral and bilateral bootstrap tests for long memory,
Christian de Peretti,
from Society for Computational Economics
(2002)
Keywords: bootstrap, long memory, test
Long memory of volatility measures in time series,
Tomasz Wójtowicz and Henryk Gurgul,
in Operations Research and Decisions
(2009)
Keywords: FIGARCH, long memory, simulations
The Long Memory of Equity Volatility: International Evidence,
Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2017)
Keywords: International; Long Memory; Volatility
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence,
Lena Dräger, Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2020)
Keywords: International; Long Memory; Volatility
Variance-type estimation of long memory,
Liudas Giraitis, Peter M. Robinson and Donatas Surgailis,
in Stochastic Processes and their Applications
(1999)
Keywords: Long memory Aggregation Semiparametric model
Long memory with Markov-Switching GARCH,
Walter Krämer,
from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
(2006)
Keywords: Markov switching, GARCH, long memory
Variance-type estimation of long memory,
Liudas Giraitis and Peter M. Robinson,
from London School of Economics and Political Science, LSE Library
(1998)
Keywords: Long memory; aggregation; semiparametric model
A Note on Long Memory Time Series,
Claude Diebolt and Vivien Guiraud,
from HAL
(2005)
Keywords: Cliometrics,Fractional integration,Long memory
Long memory with Markov-Switching GARCH,
Walter Krämer,
from Business and Social Statistics Department, Technische Universität Dortmund
(2006)
Keywords: Markov switching, GARCH, long memory
Long Memory with Markov-Switching GARCH,
Walter Kraemer,
from CESifo
(2008)
Keywords: Markov switching, GARCH, long memory
LONG MEMORY IN STOCK TRADING,
Andrei Leonidov,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2004)
Keywords: Econophysics, continuous time random walk, long memory
Learning generates Long Memory,
Guillaume Chevillon and Sophocles Mavroeidis,
from HAL
(2013)
Keywords: Learning,Long Memory,Persistence,Present-Value Models
Block Bootstrap and Long Memory,
George Kapetanios and Fotis Papailias,
from Queen Mary University of London, School of Economics and Finance
(2011)
Keywords: Block Bootstrap, Long memory; Resampling, Strong dependence
Learning generates Long Memory,
Guillaume Chevillon and Sophocles Mavroeidis,
from ESSEC Research Center, ESSEC Business School
(2011)
Keywords: Learning; Long Memory; Persistence; Present-Value Models
On the estimation of short memory components in long memory time series models,
Baillie Richard T. and George Kapetanios,
in Studies in Nonlinear Dynamics & Econometrics
(2016)
Keywords: long memory, nonlinear, time series
Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation,
Kyongwook Choi and Eric Zivot,
from University Library of Munich, Germany
(2003)
Keywords: Long memory, Structural Changes
The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics,
Luis Gil-Alana,
in Economia Internazionale / International Economics
(2003)
Keywords: Unemployment; seasonality; long memory
A note on Michelacci and Zaffaroni, long memory, and time series of economic growth,
Bart Verspagen and Gerald Silverberg,
from Eindhoven Center for Innovation Studies
(2000)
Keywords: long memory, economic growth
A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes,
George Kapetanios,
from Queen Mary University of London, School of Economics and Finance
(2004)
Keywords: Long memory, Bootstrap
Detecting long memory co-movements in macroeconomic time series,
Gianluca Moretti,
from Bank of Italy, Economic Research and International Relations Area
(2007)
Keywords: Cointegration analysis, long memory
A Multivariate Test Against Spurious Long Memory,
Philipp Sibbertsen, Christian Leschinski and Marie Holzhausen,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2015)
Keywords: Multivariate Long Memory, Semiparametric Estimation, Spurious Long Memory, Volatility
Long Memory Models and Tests for Cointegration: A Synthesizing Study,
Aaron Smallwood and Stefan Norrbin,
from Society for Computational Economics
(2003)
Keywords: long memory, cointegration,GARMA models
Testing for structural change in regression with long memory processes,
Stepana Lazarova,
from Econometric Society
(2004)
Keywords: Structural change, long memory, bootstrap
Long-memory exchange rate dynamics in the euro era,
John T. Barkoulas, Anthony G. Barilla and William Wells,
in Chaos, Solitons & Fractals
(2016)
Keywords: Long memory; Cointegration; Exchange rates;
Structural Change and long memory in the GARCH(1,1)-model,
Baudouin Tameze Azamo and Walter Krämer,
from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
(2006)
Keywords: structural change, long memory, GARCH
A test of long memory hypothesis based on self-similarity,
Dooruj Rambaccussing and James Davidson,
from Scottish Institute for Research in Economics (SIRE)
(2015)
Keywords: long memory, self-similarity, bootstrap
Long Memory, Fractional Integration, and Cross-Sectional Aggregation,
Niels Haldrup and J. Eduardo Vera-Valdés,
from Department of Economics and Business Economics, Aarhus University
(2015)
Keywords: Long memory, Fractional Integration, Aggregation
Long memory, fractional integration, and cross-sectional aggregation,
Niels Haldrup and J. Eduardo Vera Valdés,
in Journal of Econometrics
(2017)
Keywords: Long memory; Fractional integration; Aggregation;
Estimation of mis-specified long memory models,
Willa Chen and Rohit Deo,
from University Library of Munich, Germany
(2005)
Keywords: long memory, model mis-specification
Long memory versus structural breaks: An overview,
Philipp Sibbertsen,
in Statistical Papers
(2004)
Keywords: Long memory, structural breaks, trends,
Long-memory versus structural breaks: An overview,
Philipp Sibbertsen,
from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
(2001)
Keywords: Long memory, structural breaks, trends
Habit and long memory in UK lottery sales,
I.G. McHale and David Peel,
in Economics Letters
(2010)
Keywords: Long memory Fractional integration Lottery
Long Memory in US Real Output per Capita,
Guglielmo Maria Caporale and Luis Gil-Alana,
from CESifo
(2009)
Keywords: fractional integration, long memory, convergence
Semiparametric inference in seasonal and cyclical long memory processes,
Josu Arteche and Peter M. Robinson,
from London School of Economics and Political Science, LSE Library
(1998)
Keywords: Semiparametric inference; long memory; seasonality
A test of the long memory hypothesis based on self-similarity,
James Davidson and Dooruj Rambaccussing,
from Economic Studies, University of Dundee
(2015)
Keywords: Long Memory, Self-similarity, Bootstrap
Long Memory in US Real Output per Capita,
Guglielmo Maria Caporale and Luis Gil-Alana,
from DIW Berlin, German Institute for Economic Research
(2009)
Keywords: Fractional Integration, Long Memory, Convergence
Long Memory in the Oil Market: A Spectral Approach,
Yuri Balagula and Yulia Abakumova,
from European University at St. Petersburg, Department of Economics
(2011)
Keywords: econometrics, long memory, oil price
The Forecast Performance of Long Memory and Markov Switching Models,
Vasco Gabriel and Luis Martins,
from NIPE - Universidade do Minho
(2000)
Keywords: Long Memory; Structural change; Forecasting
Long Memory Analysis: An Empirical Investigation,
Rafik Nazarian, Esmaeil Naderi, Nadiya Gandali Alikhani and Ashkan Amiri,
from University Library of Munich, Germany
(2013)
Keywords: Stock Market, Long Memory, ARFIMA, FIGARCH
Long-memory in an order-driven market,
Blake Lebaron and Ryuichi Yamamoto,
in Physica A: Statistical Mechanics and its Applications
(2007)
Keywords: Microstructure; Agent-based; Long-memory; Order flow;
Nonparametric regression with long-memory errors,
Rohit Deo,
in Statistics & Probability Letters
(1997)
Keywords: Long memory Nonparametric regression Kernel estimators
Long-memory volatility in derivative hedging,
Abby Tan,
in Physica A: Statistical Mechanics and its Applications
(2006)
Keywords: Long memory; Stochastic volatility; Derivative hedging;
Long memory analysis in DNA sequences,
S.R.C. Lopes and M.A. Nunes,
in Physica A: Statistical Mechanics and its Applications
(2006)
Keywords: Long memory; DNA sequences; Empirical confidence intervals;
Long Memory Analysis: An Empirical Investigation,
Rafik Nazarian, Esmaeil Naderi, Nadiya G. Alikhani and Ashkan Amiri,
in International Journal of Economics and Financial Issues
(2014)
Keywords: stock market; long memory; ARFIMA; FIGARCH
A Smooth Transition Long-Memory Model,
Marcel Aloy, Gilles Dufrénot, Charles Lai-Tong and Anne Peguin-Feissolle,
from HAL
(2012)
Keywords: time varying parameter,nonlinearity,Long-memory,logistic
Tests of Long Memory: A Bootstrap Approach,
Pilar Grau,
in Computational Economics
(2005)
Keywords: long-memory tests, bootstrap, time series,
Occasional Structural Breaks and Long Memory,
Clive Granger and Namwon Hyung,
from Department of Economics, UC San Diego
(1999)
Keywords: occasional structural breaks, long memory, autocorrelation
A Smooth Transition Long-Memory Model,
Marcel Aloy, Gilles Dufrénot, Charles Lai Tong and Anne Péguin-Feissolle,
from Aix-Marseille School of Economics, France
(2012)
Keywords: Long-memory, nonlinearity, time varying parameter, logistic.
LARCH, leverage and long memory,
Liudas Giraitis, Remigijus Leipus, Peter M. Robinson and Donatas Surgailis,
from London School of Economics and Political Science, LSE Library
(2003)
Keywords: Leverage; long memory; linear ARCH; LARCH; finiteness of moments
Long Memory Options: Valuation,
Sutthisit Jamdee and Cornelis Los,
from University Library of Munich, Germany
(2004)
Keywords: Options, Long Memory, Persistence, Hurst Exponent, Executive Remuneration
Long memory and changing persistence,
Robinson Kruse and Philipp Sibbertsen,
from Department of Economics and Business Economics, Aarhus University
(2010)
Keywords: Long memory, changing persistence, structural break, semi-parametric estimation
Long memory and changing persistence,
Robinson Kruse and Philipp Sibbertsen,
in Economics Letters
(2012)
Keywords: Long memory; Changing persistence; Structural break; Semi-parametric estimation;
Seasonal and cyclical long memory,
Josu Arteche and Peter M. Robinson,
from London School of Economics and Political Science, LSE Library
(1998)
Keywords: Long memory; seasonal time series; cyclic time series.
LARCH, Leverage and Long Memory,
Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis,
from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
(2003)
Keywords: Leverage, long memory, linear ARCH, LARCH, finiteness of moments.
Long memory and changing persistence,
Robinson Kruse and Philipp Sibbertsen,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2010)
Keywords: Long memory; changing persistence; structural break; semi-parametric estimation
Long memory via networking,
Susanne Schennach,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2018)
Keywords: Long memory, fractionally integrated processes, spectral dimension, networks, fractals.
Bootstrapping long memory time series: Application in low frequency estimators,
Josu Arteche,
in Econometrics and Statistics
(2024)
Keywords: Long memory; Bootstrap; Memory parameter estimation;
Long memory and long run variation,
Peter Phillips,
in Journal of Econometrics
(2009)
Keywords: Asymptotic expansion Autocovariance function Fractional pole Fourier integral Generalized function Long memory Long range dependence Singularity
Long Memory and Long Run Variation,
Peter Phillips,
from Cowles Foundation for Research in Economics, Yale University
(2008)
Keywords: Asymptotic expansion, Autocovariance function, Fractional pole, Fourier integral, Generalized function, Long memory, Long range dependence, Singularity
Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels,
Peter M. Robinson and Marc Henry,
from London School of Economics and Political Science, LSE Library
(1998)
Keywords: long memory; dynamic conditional heteroscedasticity; semiparametric estimation.
Log-periodogram estimation of the memory parameter of a long-memory process under trend,
Philipp Sibbertsen,
from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
(2001)
Keywords: Long-memory, trends, log-periodogram regression
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