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A simple nonlinear time series model with misleading linear properties

Citations

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Cited by:

  1. Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
  2. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  3. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.
  4. 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.
  5. Grace Lee Ching Yap, 2020. "Optimal Filter Approximations for Latent Long Memory Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 547-568, August.
  6. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
  7. Valadkhani, Abbas, 2023. "Asymmetric downside risk across different sectors of the US equity market," Global Finance Journal, Elsevier, vol. 57(C).
  8. repec:lan:wpaper:3209 is not listed on IDEAS
  9. Simone Alfarano & Thomas Lux, 2007. "A Minimal Noise Trader Model with Realistic Time Series Properties," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 345-361, Springer.
  10. Bertram, William K. & Peiris, M. Shelton, 2007. "An example of a misclassification problem applied to Australian equity data," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3627-3630, May.
  11. Melike Bildirici & Nilgun Guler Bayazit & Yasemen Ucan, 2020. "Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM," Energies, MDPI, vol. 13(11), pages 1-18, June.
  12. 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".
  13. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
  14. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
  15. Kruse, Robinson & Sibbertsen, Philipp, 2012. "Long memory and changing persistence," Economics Letters, Elsevier, vol. 114(3), pages 268-272.
  16. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2676-2692, November.
  17. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
  18. Dominique Guegan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Post-Print halshs-00187875, HAL.
  19. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Relative forecasting performance of volatility models: Monte Carlo evidence," Kiel Working Papers 1582, Kiel Institute for the World Economy (IfW Kiel).
  20. Dominique Guegan, 2007. "La persistance dans les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179269, HAL.
  21. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  22. 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.
  23. Nidhaleddine Ben Cheikh & Younes Ben Zaied, 2021. "A new look at carbon dioxide emissions in MENA countries," Climatic Change, Springer, vol. 166(3), pages 1-22, June.
  24. Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
  25. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or Long Memory Behaviour: An empirical Investigation," Post-Print halshs-00377485, HAL.
  26. Lux, Thomas & Morales-Arias, Leonardo, 2009. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers 1532, Kiel Institute for the World Economy (IfW Kiel).
  27. Giovanni Caggiano & Leone Leonida, 2009. "International output convergence: evidence from an autocorrelation function approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 139-162.
  28. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
  29. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
  30. Guérin, Pierre & Leiva-Leon, Danilo, 2017. "Model averaging in Markov-switching models: Predicting national recessions with regional data," Economics Letters, Elsevier, vol. 157(C), pages 45-49.
  31. John Byers & David Peel & Dennis Thomas, 2007. "Habit, aggregation and long memory: evidence from television audience data," Applied Economics, Taylor & Francis Journals, vol. 39(3), pages 321-327.
  32. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
  33. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
  34. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, November.
  35. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  36. 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).
  37. Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011. "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy (IfW Kiel).
  38. Gary Biglaiser & Ching-to Albert Ma, 2007. "Moonlighting: public service and private practice," RAND Journal of Economics, RAND Corporation, vol. 38(4), pages 1113-1133, December.
  39. van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, vol. 110(2), pages 135-165, October.
  40. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
  41. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
  42. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  43. repec:cfe:wpcefa:2016_08 is not listed on IDEAS
  44. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2015. "Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models," FinMaP-Working Papers 46, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  45. repec:ipg:wpaper:2014-503 is not listed on IDEAS
  46. Yoon, Gawon, 2009. "Is high real interest rate persistence an intrinsic characteristic of industrialized economies?," Economic Modelling, Elsevier, vol. 26(2), pages 359-363, March.
  47. Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.
  48. Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.
  49. Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
  50. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, January.
  51. Christos Christodoulou-Volos & Fotios Siokis, 2006. "Long range dependence in stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(18), pages 1331-1338.
  52. Lanouar Charfeddine & Dominique Guegan, 2008. "Is it possible to discriminate between different switching regressions models? An empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368358, HAL.
  53. Kuan Chung-Ming & Lee Wei-Ming, 2004. "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
  54. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
  55. D. Delpini & G. Bormetti, 2015. "Stochastic volatility with heterogeneous time scales," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1597-1608, October.
  56. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
  57. Mihaela Craioveanu & Eric Hillebrand, 2012. "Level changes in volatility models," Annals of Finance, Springer, vol. 8(2), pages 277-308, May.
  58. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  59. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.
  60. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  61. Maheu John, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-43, December.
  62. repec:lan:wpaper:3207 is not listed on IDEAS
  63. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  64. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2020. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, March.
  65. Joann Jasiak, 2003. "First‐Order Autoregressive Processes with Heterogeneous Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 283-309, May.
  66. Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
  67. Gawon Yoon, 2010. "Long memory in return volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 345-349.
  68. Eric Hillebrand & Marcelo C. Medeiros, 2016. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-41, January.
  69. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, University Library of Munich, Germany.
  70. Granger, Clive W. J. & Hyung, Namwon, 2004. "Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 399-421, June.
  71. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  72. Yi-Ting Chen, 2002. "On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study," Economics Bulletin, AccessEcon, vol. 3(17), pages 1-10.
  73. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
  74. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  75. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
  76. 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.
  77. Huthaifa Alqaralleh & Ahmad Al-Majali & Abeer Alsarayrh, 2021. "Analyzing the Dynamics Between Macroeconomic Variables and the Stock Indexes of Emerging Markets, Using Non-linear Methods," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 193-204, May.
  78. Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute.
  79. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  80. David G. McMillan, 2009. "Are Uk Share Prices Too High? Fundamental Value Or New Era," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 1-20, January.
  81. repec:lan:wpaper:3305 is not listed on IDEAS
  82. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, vol. 3(1), pages 1-53, January.
  83. Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  84. Lanouar Charfeddine & Dominique Guegan, 2008. "Is it possible to discriminate between different switching regressions models? An empirical investigation," Post-Print halshs-00368358, HAL.
  85. Gawon Yoon, 2009. "Purchasing power parity and long memory," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 55-61.
  86. 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.
  87. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
  88. Gil-Alana, Luis A., 2008. "A simple non-linear model with fractional integration for financial time series data," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 838-848, December.
  89. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  90. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
  91. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
  92. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
  93. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
  94. J. D. Byers & D. A. Peel, 2003. "Another example of a non-linear time series with misleading linear properties," Applied Economics Letters, Taylor & Francis Journals, vol. 10(1), pages 47-51.
  95. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2017. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, June.
  96. 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.
  97. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
  98. Ke Yang & Langnan Chen, 2014. "Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect," International Review of Finance, International Review of Finance Ltd., vol. 14(3), pages 345-392, September.
  99. Geng-Nan Chiang & Wei-Ying Sung & Wen-Guu Lei, 2017. "Regime-Switching Effect of Tourism Specialization on Economic Growth in Asia Pacific Countries," Economies, MDPI, vol. 5(3), pages 1-14, June.
  100. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  101. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
  102. C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, September.
  103. Sakoulis, Georgios & Zivot, Eric & Choi, Kyongwook, 2010. "Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 957-966, December.
  104. repec:ebl:ecbull:v:3:y:2002:i:17:p:1-10 is not listed on IDEAS
  105. Magnus Gustavsson & Par Osterholm, 2006. "Hysteresis and non-linearities in unemployment rates," Applied Economics Letters, Taylor & Francis Journals, vol. 13(9), pages 545-548.
  106. Guglielmo Maria Caporale & Luis Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 375-383.
  107. Lux, Thomas & Segnon, Mawuli & Gupta, Rangan, 2015. "Modeling and forecasting crude oil price volatility: Evidence from historical and recent data," FinMaP-Working Papers 31, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  108. Coakley Jerry & Fuertes Ana-María & Zoega Gylfi, 2001. "Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-25, October.
  109. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
  110. Richard T. Baillie & Dooyeon Cho & Seunghwa Rho, 2023. "Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility," Empirical Economics, Springer, vol. 64(6), pages 2911-2937, June.
  111. 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.
  112. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
  113. Leschinski, Christian & Sibbertsen, Philipp, 2017. "Origins of Spurious Long Memory," Hannover Economic Papers (HEP) dp-595, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  114. Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  115. 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.
  116. Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.
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