Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
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- Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March.
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Schmalenbach Journal of Business Research, Springer, vol. 51(10), pages 915-936, October.
- Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Marc Henry & Peter M Robinson, 1998. "Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)," STICERD - Econometrics Paper Series 357, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Los, Cornelis A. & Yu, Bing, 2008.
"Persistence characteristics of the Chinese stock markets,"
International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82.
- Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, University Library of Munich, Germany.
- Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, University Library of Munich, Germany.
- Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
- Grobys, Klaus, 2023. "A Fractal and Comparative View of the Memory of Bitcoin and S&P 500 Returns," Research in International Business and Finance, Elsevier, vol. 66(C).
- Geoffrey Ducournau & Daniel Melhem, 2024. "Bayesian statistical inference addressed to share prices dynamics' theory," Economics Bulletin, AccessEcon, vol. 44(1), pages 373-398.
- Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006.
"Persistence characteristics of Latin American financial markets,"
Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
- Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, University Library of Munich, Germany.
- Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0409048, University Library of Munich, Germany.
- Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007.
"Long memory modelling of inflation with stochastic variance and structural breaks,"
CREATES Research Papers
2007-44, Department of Economics and Business Economics, Aarhus University.
- C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
- G. Mesters & S. J. Koopman & M. Ooms, 2016.
"Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
- Mouck, T., 1998. "Capital markets research and real world complexity: The emerging challenge of chaos theory," Accounting, Organizations and Society, Elsevier, vol. 23(2), pages 189-203, February.
- Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
- Pasca Lucian, 2015. "A Critical Review of the Main Approaches on Financial Market Dynamics Modelling," Journal of Heterodox Economics, Sciendo, vol. 2(2), pages 151-167, December.
- Chaker Aloui & Duc Khuong Nguyen, 2014.
"On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach,"
Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
- Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.
- Enriquez, Nathanaël, 2004. "A simple construction of the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 203-223, February.
- Grobys, Klaus, 2023. "A multifractal model of asset (in)variances," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Geoffrey Ducournau, 2021. "Bayesian inference and superstatistics to describe long memory processes of financial time series," Papers 2105.04171, arXiv.org.
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