References in zbMATH (referenced in 15 articles )

Showing results 1 to 15 of 15.
Sorted by year (citations)

  1. Chevillon, Guillaume; Hecq, Alain; Laurent, Sébastien: Generating univariate fractional integration within a large VAR(1) (2018)
  2. Mudelsee, Manfred: Climate time series analysis. Classical statistical and bootstrap methods (2014)
  3. Raggi, Davide; Bordignon, Silvano: Long memory and nonlinearities in realized volatility: a Markov switching approach (2012)
  4. Davidson, James; Hashimzade, Nigar: Type I and type II fractional Brownian motions: a reconsideration (2009)
  5. Degiannakis, Stavros: ARFIMAX and ARFIMAX-TARCH realized volatility modeling (2008)
  6. Haldrup, Niels; Nielsen, Morten Ørregaard: Estimation of fractional integration in the presence of data noise (2007)
  7. Hillebrand, Eric: Overlaying time scales in financial volatility data (2006)
  8. Nielsen, Morten Ørregaard: Semiparametric estimation in time-series regression with long-range dependence (2005)
  9. Ariño, Miguel A.; Marmol, Francesc: A permanent-transitory decomposition for ARFIMA processes (2004)
  10. Doornik, Jürgen A.; Ooms, Marius: Inference and forecasting for ARFIMA models with an application to US and UK inflation (2004)
  11. Dubois, Emmanuel; Lardic, Sandrine; Mignon, Valérie: The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size (2004)
  12. Nielsen, Morten Ørregaard: Efficient likelihood inference in nonstationary univariate models (2004)
  13. Nielsen, Morten Ørregaard: Efficient inference in multivariate fractionally integrated time series models (2004)
  14. Doornik, Jurgen A.; Ooms, Marius: Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models (2003)
  15. Fernández Díaz, Andrés; Grau-Carles, Pilar; Escot Mangas, Lorenzo: Nonlinearities in the exchange rates returns and volatility (2002)