Power transformations of absolute returns and long memory estimation-Reference-Cited by-同舟云学术

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Power transformations of absolute returns and long memory estimation

Published:2015-09 Issue: Volume:33 Page:1-18
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Dalla Violetta

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference45 articles.

1. Semiparametric inference in correlated long memory signal plus noise models;Arteche;Econ. Rev.,2012

2. Estimation and inference for impulse response functions from univariate strongly persistent processes;Baillie;Econ. J.,2013

3. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;J. Econ.,1996

4. Modified information criteria and selection of long memory time series models;Baillie;Comput. Stat. Data Anal.,2014

5. Generalized autoregressive conditional heteroscedasticity;Bollerslev;J. Econ.,1986

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume;Journal of Applied Econometrics;2021-07-11

2. Modeling and forecasting Tapis crude oil price: A long memory approach;PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES AND TECHNOLOGY 2018 (MATHTECH2018): Innovative Technologies for Mathematics & Mathematics for Technological Innovation;2019

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