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Cointegration tests with conditional heteroskedasticity
Testing for causality in real time
A reinterpretation of the tests of overidentifying restrictions
Bounding mean regressions when a binary regressor is mismeasured
The stochastic specification of demand share equations: Restricting budget shares to the unit simplex
Averaged periodogram estimation of long memory
On the power of the KPSS test of stationarity against fractionally-integrated alternatives
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
Estimating a generalized long memory process
Modeling and pricing long memory in stock market volatility
股票市场波动率长记忆的建模与定价
A new class of fractionally integrated GARCH and EGARCH models for characterizing financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of quasi maximum likelihood estimation methods, standard model selection criteria, and residual-based portmanteau diagnostic tests in this context. New empirical evidence suggests that the apparent long-run dependence in U.S. stock market volatility is best described by a mean-reverting fractionally…
Long memory continuous time models
The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
Modeling volatility persistence of speculative returns: A new approach
Infinite variance stable moving averages with long memory
具有长记忆的无限方差稳定移动平均过程
We investigate the notion of long memory for infinite variance moving averages with stable non-Gaussian innovations and regularly varying coefficients. Regularly varying coefficients decay to zero like jPL(j) as j → ∞, where L is a slowly varying function. We study the asymptotic behavior of two measures of dependence, the codifference and the covariation, which are extensions of the covariance.