References in zbMATH (referenced in 19 articles )

Showing results 1 to 19 of 19.
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  1. Roume, Clément; Ezzina, Samar; Blain, Hubert; Delignières, Didier: Biases in the simulation and analysis of fractal processes (2019)
  2. Chevillon, Guillaume; Hecq, Alain; Laurent, Sébastien: Generating univariate fractional integration within a large VAR(1) (2018)
  3. Tyralis, Hristos; Papacharalampous, Georgia: Variable selection in time series forecasting using random forests (2017)
  4. Mudelsee, Manfred: Climate time series analysis. Classical statistical and bootstrap methods (2014)
  5. Raggi, Davide; Bordignon, Silvano: Long memory and nonlinearities in realized volatility: a Markov switching approach (2012)
  6. Davidson, James; Hashimzade, Nigar: Type I and type II fractional Brownian motions: a reconsideration (2009)
  7. Degiannakis, Stavros: ARFIMAX and ARFIMAX-TARCH realized volatility modeling (2008)
  8. Haldrup, Niels; Nielsen, Morten Ørregaard: Estimation of fractional integration in the presence of data noise (2007)
  9. Hillebrand, Eric: Overlaying time scales in financial volatility data (2006)
  10. Nielsen, Morten Ørregaard: Semiparametric estimation in time-series regression with long-range dependence (2005)
  11. Nielsen, Morten Ørregaard; Frederiksen, Per Houmann: Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration (2005)
  12. Ariño, Miguel A.; Marmol, Francesc: A permanent-transitory decomposition for ARFIMA processes (2004)
  13. Dolado, Juan J.; Marmol, Francesc: Asymptotic inference results for multivariate long-memory processes (2004)
  14. Doornik, Jürgen A.; Ooms, Marius: Inference and forecasting for ARFIMA models with an application to US and UK inflation (2004)
  15. Dubois, Emmanuel; Lardic, Sandrine; Mignon, Valérie: The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size (2004)
  16. Nielsen, Morten Ørregaard: Efficient likelihood inference in nonstationary univariate models (2004)
  17. Nielsen, Morten Ørregaard: Efficient inference in multivariate fractionally integrated time series models (2004)
  18. Doornik, Jurgen A.; Ooms, Marius: Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models (2003)
  19. Fernández Díaz, Andrés; Grau-Carles, Pilar; Escot Mangas, Lorenzo: Nonlinearities in the exchange rates returns and volatility (2002)