Browsing by Subject "Fractional integration"

Browsing by Subject "Fractional integration"

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  • Essays on structural change tests under long memory 
    Wenger, Kai Rouven (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This thesis contains six essays on tests for structural change under long memory with applications to economic time series. Chapter 1 introduces structural change tests and the concept of long memory. The main problem ...
  • Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 
    Afzal, Alia; Sibbertsen, Philipp (Dordrecht [u.a.] : Springer Science + Business Media B.V, 2022)
    This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies ...