Volume 6, 2002
New directions in Time Series Analysis (Guest Editor: Philippe Soulier)
Page(s) 311 - 329
Section New directions in Time Series Analysis (Guest Editor: Philippe Soulier)
Published online 15 November 2002
  1. T.W. Anderson, The Statistical Analysis of Time Series. Wiley, New York (1971).
  2. R.T. Baillie, Long memory processes and fractional integration in econometrics. J. Econometrics 73 (1996) 5-59. [CrossRef] [MathSciNet]
  3. P. Billingsley, Convergence of Probability Measures. Wiley, New York (1968).
  4. T. Bollerslev and H.O. Mikkelsen, Modeling and pricing long memory in stock market volatility. J. Econometrics 73 (1996) 151-184. [CrossRef]
  5. F.J. Breidt, N. Crato and P. de Lima, On the detection and estimation of long memory in stochastic volatility. J. Econometrics 83 (1998) 325-348. [CrossRef] [MathSciNet]
  6. D.R. Brillinger, Time Series. Data Analysis and Theory. Holt, Rinehart and Winston, New York (1975).
  7. Yu. Davydov, The invariance principle for stationary processes. Theory Probab. Appl. 15 (1970) 487-489. [CrossRef] [MathSciNet]
  8. A. Demos, Moments and dynamic structure of a time-varying-parameter stochastic volatility in mean model. Preprint (2001).
  9. Z. Ding and C.W.J. Granger, Modeling volatility persistence of speculative returns: A new approach. J. Econometrics 73 (1996) 185-215. [CrossRef] [MathSciNet]
  10. R.F. Engle, Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50 (1982) 987-1008. [CrossRef] [MathSciNet]
  11. E. Ghysels, A.C. Harvey and E. Renault, Stochastic volatility, edited by G.S. Maddala and C.R. Rao. North Holland, Amsterdam, Handb. Statist. 14 (1993) 119-191.
  12. L. Giraitis, P. Kokoszka and R. Leipus, Rescaled variance and related tests for long memory in volatility and levels. Preprint (1999).
  13. L. Giraitis, H.L. Koul and D. Surgailis, Asymptotic normality of regression estimators with long memory errors. Statist. Probab. Lett. 29 (1996) 317-335. [CrossRef] [MathSciNet]
  14. L. Giraitis, R. Leipus, P.M. Robinson and D. Surgailis, LARCH, leverage and long memory. Preprint (2000).
  15. L. Giraitis, P.M. Robinson and D. Surgailis, A model for long memory conditional heteroskedasticity. Ann. Appl. Probab. (2000) (forthcoming).
  16. A. Harvey, Long memory in stochastic volatility, edited by J. Knight and S. Satchell, Forecasting Volatility in the Financial Markets. Butterworth & Heineman, Oxford (1998).
  17. C. He, T. Teräsvirta and H. Malmsten, Fourth moment structure of a family of first order exponential GARCH models, Preprint. Econometric Theory (to appear).
  18. H.-C. Ho and T. Hsing, Limit theorems for functionals of moving averages. Ann. Probab. 25 (1997) 1636-1669. [CrossRef] [MathSciNet]
  19. J.R.M. Hosking, Fractional differencing. Biometrika 68 (1981) 165-176. [CrossRef] [MathSciNet]
  20. H. Hurst, Long term storage capacity of reservoirs. Trans. Amer. Soc. Civil Engrg. 116 (1951) 770-799.
  21. D. Kwiatkowski, P.C. Phillips, P. Schmidt and Y. Shin, Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? J. Econometrics 54 (1992) 159-178.
  22. A.C. Lo, Long memory in stock market prices. Econometrica 59 (1991) 1279-1313. [CrossRef]
  23. I.N. Lobato and N.E. Savin, Real and spurious long-memory properties of stock market data (with comments). J. Business Econom. Statist. 16 (1998) 261-283. [CrossRef]
  24. V.A. Malyshev and R.A. Minlos, Gibbs Random Fields. Kluwer, Dordrecht (1991).
  25. B.B. Mandelbrot, Statistical methodology for non-periodic cycles: From the covariance to R/S analysis. Ann. Econom. Social Measurement 1 (1972) 259-290.
  26. B.B. Mandelbrot, Limit theorems of the self-normalized range for weakly and strongly dependent processes. Z. Wahrsch. Verw. Geb. 31 (1975) 271-285. [CrossRef]
  27. B.B. Mandelbrot and M.S. Taqqu, Robust R/S analysis of long run serial correlation. Bull. Int. Statist. Inst. 48 (1979) 59-104.
  28. B.B. Mandelbrot and J.M. Wallis, Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence. Water Resources Research 5 (1969) 967-988. [CrossRef]
  29. D.B. Nelson, Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59 (1991) 347-370. [CrossRef] [MathSciNet]
  30. P.M. Robinson, Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. J. Econometrics 47 (1991) 67-84. [CrossRef] [MathSciNet]
  31. P.M. Robinson, The memory of stochastic volatility models. J. Econometrics 101 (2001) 195-218. [CrossRef] [MathSciNet]
  32. P.M. Robinson and P. Zaffaroni, Nonlinear time series with long memory: A model for stochastic volatility. J. Statist. Plan. Inf. 68 (1998) 359-371. [CrossRef]
  33. S. Taylor, Modelling Financial Time Series. Wiley, Chichester (1986).

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.