10 results
DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
-
- Journal:
- Econometric Theory / Volume 29 / Issue 5 / October 2013
- Published online by Cambridge University Press:
- 16 October 2013, pp. 1009-1056
-
- Article
- Export citation
AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
-
- Journal:
- Econometric Theory / Volume 26 / Issue 2 / April 2010
- Published online by Cambridge University Press:
- 30 September 2009, pp. 406-425
-
- Article
- Export citation
On Long-Range Dependence in Regenerative Processes Based on a General ON/OFF Scheme
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 44 / Issue 2 / June 2007
- Published online by Cambridge University Press:
- 14 July 2016, pp. 379-392
- Print publication:
- June 2007
-
- Article
-
- You have access
- Export citation
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
-
- Journal:
- Econometric Theory / Volume 22 / Issue 6 / December 2006
- Published online by Cambridge University Press:
- 03 November 2006, pp. 989-1029
-
- Article
- Export citation
On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 43 / Issue 2 / June 2006
- Published online by Cambridge University Press:
- 14 July 2016, pp. 421-440
- Print publication:
- June 2006
-
- Article
-
- You have access
- Export citation
Random coefficient autoregression, regime switching and long memory
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 35 / Issue 3 / September 2003
- Published online by Cambridge University Press:
- 01 July 2016, pp. 737-754
- Print publication:
- September 2003
-
- Article
- Export citation
A new theorem on the existence of invariant distributions with applications to ARCH processes
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 40 / Issue 1 / March 2003
- Published online by Cambridge University Press:
- 14 July 2016, pp. 147-162
- Print publication:
- March 2003
-
- Article
- Export citation
ON STATIONARITY IN THE ARCH(∞) MODEL
-
- Journal:
- Econometric Theory / Volume 18 / Issue 1 / February 2002
- Published online by Cambridge University Press:
- 06 March 2002, pp. 1-16
-
- Article
- Export citation
Testing for long memory in the presence of a general trend
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 38 / Issue 4 / December 2001
- Published online by Cambridge University Press:
- 14 July 2016, pp. 1033-1054
- Print publication:
- December 2001
-
- Article
- Export citation
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
-
- Journal:
- Econometric Theory / Volume 16 / Issue 1 / February 2000
- Published online by Cambridge University Press:
- 01 February 2000, pp. 3-22
-
- Article
- Export citation