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Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

Citations

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Cited by:

  1. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
  2. 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.
  3. Carlos Pestana Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Long Memory in German Energy Price Indices," CESifo Working Paper Series 3935, CESifo.
  4. David McMillan & Mark Wohar, 2011. "Structural breaks in volatility: the case of UK sector returns," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1079-1093.
  5. Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2010. "Localized Realized Volatility Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1376-1393.
  6. 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.
  7. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
  8. Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
  9. Charles, Amélie & Darné, Olivier, 2014. "Volatility persistence in crude oil markets," Energy Policy, Elsevier, vol. 65(C), pages 729-742.
  10. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 395-422.
  11. Luis A. Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2016. "The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(7), pages 978-991, October.
  12. Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
  13. 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, January.
  14. 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.
  15. Nazim Regnard & Jean‐Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
  16. Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1983-1990.
  17. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
  18. Funke, Michael & Shu, Chang & Cheng, Xiaoqiang & Eraslan, Sercan, 2015. "Assessing the CNH–CNY pricing differential: Role of fundamentals, contagion and policy," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 245-262.
  19. Martins, André C.R., 2007. "Non-stationary correlation matrices and noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 552-558.
  20. Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  21. Krämer, Walter, 2008. "Long memory with Markov-Switching GARCH," Economics Letters, Elsevier, vol. 99(2), pages 390-392, May.
  22. Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta, 2017. "Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 131(1), pages 393-405, March.
  23. Pal, Debdatta, 2022. "Does hospitality industry stock volatility react asymmetrically to health and economic crises?," Economic Modelling, Elsevier, vol. 108(C).
  24. 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.
  25. Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  26. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
  27. Kuper, Gerard H. & Mulder, Machiel, 2016. "Cross-border constraints, institutional changes and integration of the Dutch–German gas market," Energy Economics, Elsevier, vol. 53(C), pages 182-192.
  28. 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.
  29. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
  30. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
  31. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "Cross‐Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 509-541, September.
  32. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  33. 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.
  34. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
  35. Valentin Patilea & Hamdi Raïssi, 2014. "Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1099-1111, September.
  36. 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.
  37. Wen‐Shwo Fang & Stephen M. Miller, 2008. "The Great Moderation and the Relationship between Output Growth and Its Volatility," Southern Economic Journal, John Wiley & Sons, vol. 74(3), pages 819-838, January.
  38. Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 13015, Banco de la Republica.
  39. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Effective energy commodity risk management: Econometric modeling of price volatility," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 234-250.
  40. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
  41. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
  42. 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.
  43. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques.
  44. Augustyniak, Maciej, 2014. "Maximum likelihood estimation of the Markov-switching GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 61-75.
  45. Amandha Ganegoda & John Evans, 2017. "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 3-31, February.
  46. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
  47. 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.
  48. Ivelina Pavlova & Jang Hyung Cho & A.M. Parhizgari & William G. Hardin, 2014. "Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 315-332, December.
  49. 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.
  50. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012. "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
  51. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
  52. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, January.
  53. Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
  54. Wenger, Kai & Leschinski, Christian, 2021. "Fixed-bandwidth CUSUM tests under long memory," Econometrics and Statistics, Elsevier, vol. 20(C), pages 46-61.
  55. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, John Wiley & Sons, vol. 80(3), pages 728-751, January.
  56. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
  57. Show-Lin Chen & Nen-Jing Chen & Rwei-Ju Chuang, 2014. "An empirical study on technical analysis: GARCH (1, 1) model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(4), pages 785-801, April.
  58. 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.
  59. Kreye, Tom Jannik & Sibbertsen, Philipp, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Hannover Economic Papers (HEP) dp-729, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  60. 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 12-01, Asociación Española de Economía y Finanzas Internacionales.
  61. Gil-Alana, Luis A. & Cunado, Juncal & Gupta, Rangan, 2017. "Evidence of persistence in U.S. short and long-term interest rates," Journal of Policy Modeling, Elsevier, vol. 39(5), pages 775-789.
  62. 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.
  63. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
  64. 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.
  65. Aharon, David Y. & Butt, Hassan Anjum & Jaffri, Ali & Nichols, Brian, 2023. "Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks," International Review of Financial Analysis, Elsevier, vol. 87(C).
  66. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  67. AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  68. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale, 2015. "African Growth, Non-Linearities and Strong Dependence: An Empirical Study," NCID Working Papers 12/2015, Navarra Center for International Development, University of Navarra.
  69. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024. "A new GARCH model with a deterministic time-varying intercept," Papers 2410.03239, arXiv.org, revised Oct 2024.
  70. Jamel Jouini, 2009. "Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 91-110.
  71. Stergios B. Fotopoulos & Abhishek Kaul & Vasileios Pavlopoulos & Venkata K. Jandhyala, 2024. "Adaptive parametric change point inference under covariance structure changes," Statistical Papers, Springer, vol. 65(5), pages 2887-2913, July.
  72. Kostyrka, Andreï & Malakhov, Dmitry, 2021. "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 110-139.
  73. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  74. Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  75. Laurie Davies & Walter Kramer, 2016. "Stylized Facts and Simulating Long Range Financial Data," Papers 1612.05229, arXiv.org.
  76. OlaOluwa S. Yaya & Luis A. Gil-Alana & Acheampong Y. Amoateng, 2019. "Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends," European Journal of Population, Springer;European Association for Population Studies, vol. 35(4), pages 675-694, October.
  77. Wu, Jilin, 2016. "Detecting structural changes under nonstationary volatility," Economics Letters, Elsevier, vol. 146(C), pages 151-154.
  78. Kawka, Rafael, 2022. "Convergence of spectral density estimators in the locally stationary framework," Econometrics and Statistics, Elsevier, vol. 24(C), pages 94-115.
  79. Davidson, James & Li, Xiaoyu, 2016. "Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 534-547.
  80. Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.
  81. 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.
  82. repec:wyi:journl:002190 is not listed on IDEAS
  83. 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.
  84. Ewing, Bradley T. & Malik, Farooq, 2017. "Modelling asymmetric volatility in oil prices under structural breaks," Energy Economics, Elsevier, vol. 63(C), pages 227-233.
  85. Frédy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1349-1399, April.
  86. Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023. "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, vol. 310(1), pages 415-431.
  87. Karmakar, Sayar & Richter, Stefan & Wu, Wei Biao, 2022. "Simultaneous inference for time-varying models," Journal of Econometrics, Elsevier, vol. 227(2), pages 408-428.
  88. Roberto Ferulano, 2009. "A Mixed Historical Formula to forecast volatility," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 124-136, June.
  89. Taewook Lee & Moosup Kim & Changryong Baek, 2015. "Tests for Volatility Shifts in Garch Against Long-Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 127-153, March.
  90. 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.
  91. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
  92. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  93. Mwasi Paza Mboya & Philipp Sibbertsen, 2023. "Optimal forecasts in the presence of discrete structural breaks under long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1889-1908, November.
  94. Zhang, Erhua & Wu, Jilin, 2020. "Adaptive estimation of AR∞ models with time-varying variances," Economics Letters, Elsevier, vol. 197(C).
  95. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
  96. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  97. Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.
  98. 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.
  99. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
  100. Marco Bee & Debbie J. Dupuis & Luca Trapin, 2016. "US stock returns: are there seasons of excesses?," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1453-1464, September.
  101. 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.
  102. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," PSE-Ecole d'économie de Paris (Postprint) halshs-00375765, HAL.
  103. Darko B. Vuković & Sonja D. Radenković & Ivana Simeunović & Vyacheslav Zinovev & Milan Radovanović, 2024. "Predictive Patterns and Market Efficiency: A Deep Learning Approach to Financial Time Series Forecasting," Mathematics, MDPI, vol. 12(19), pages 1-26, September.
  104. Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020. "Movements in international bond markets: The role of oil prices," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
  105. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2021. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 224(2), pages 306-329.
  106. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  107. Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
  108. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers 1907.04147, arXiv.org, revised Oct 2020.
  109. Ewing, Bradley T. & Malik, Farooq & Payne, James E., 2024. "Volatility transmission between upstream and midstream energy sectors," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1191-1199.
  110. Haipeng Xing & Hongsong Yuan & Sichen Zhou, 2017. "A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points," Review of Economics & Finance, Better Advances Press, Canada, vol. 8, pages 44-60, May.
  111. Messow, Philip & Krämer, Walter, 2013. "Spurious persistence in stochastic volatility," Economics Letters, Elsevier, vol. 121(2), pages 221-223.
  112. D. Delpini & G. Bormetti, 2015. "Stochastic volatility with heterogeneous time scales," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1597-1608, October.
  113. 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.
  114. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
  115. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
  116. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
  117. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  118. Chenxing Li & John M. Maheu & Qiao Yang, 2024. "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2187-2211, September.
  119. 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.
  120. Andrés Herrera Aramburú & Gabriel Rodríguez, 2016. "Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 45-66.
  121. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
  122. Muyi Li & Wai Keung Li & Guodong Li, 2013. "On Mixture Memory Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 606-624, November.
  123. Ewing, Bradley T. & Malik, Farooq, 2016. "Volatility spillovers between oil prices and the stock market under structural breaks," Global Finance Journal, Elsevier, vol. 29(C), pages 12-23.
  124. 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.
  125. Juan Carlos Cuestas & Luis A. Gil-Alana & Karl Taylor, 2016. "Inflation convergence in Central and Eastern Europe vs. the Eurozone: Non-linearities and long memory," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(5), pages 519-538, November.
  126. Davis, Richard A. & Hancock, Stacey A. & Yao, Yi-Ching, 2016. "On consistency of minimum description length model selection for piecewise autoregressions," Journal of Econometrics, Elsevier, vol. 194(2), pages 360-368.
  127. 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.
  128. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
  129. 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.
  130. Polzehl, Jörg & Spokoiny, Vladimir, 2006. "Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power," SFB 649 Discussion Papers 2006-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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