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【推荐书籍】（高清）Statistics for Long-Memory Processes
33 个回复 - 8375 次查看 Statistics for Long-Memory Processes (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) Jan Beran (Author) Book Description Publication Date: October 1, 1994 | ISBN-10: 041204 ...2014-2-22 10:14 - oliyiyi - 计量经济学与统计软件

Sample quantile analysis for long-memory stochastic volatility models
1 个回复 - 854 次查看 Sample quantile analysis for long-memory stochastic volatility models2015-10-27 20:31 - lucky187 - 求助成功区

A long memory property of stock market returns and a new model
1 个回复 - 445 次查看【作者(必填)】 23 【文题(必填)】 A long memory property of stock market returns and a new model【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs/pi ...2021-2-26 15:32 - internet.hzx - 文献求助专区

Long memory affine term structure models
4 个回复 - 1272 次查看 Long memory affine term structure models2015-10-27 20:35 - lucky187 - 求助成功区

Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods
3 个回复 - 1412 次查看【作者(必填)】Linyuan Li, Kewei Lu 【文题(必填)】Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods 【年份(必填)】2013 【全文链接或数据库名称(选填)】 http://link.s ...2015-9-3 00:11 - 笑逸生 - 文献求助专区

Spurious regressions between stationary generalized long memory processes
2 个回复 - 612 次查看 Yixiao Sun, Spurious regressions between stationary generalized long memory processes [J]. Econometrics letters, 2005,2015-10-31 10:47 - lucky187 - 求助成功区

A two-sample test for comparison of long memory parameters
2 个回复 - 749 次查看 A two-sample test for comparison of long memory parameters2016-1-6 13:11 - lucky187 - 求助成功区

Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures
6 个回复 - 460 次查看【作者(必填)】Yuting Gong[/backcolor] Xu Zheng[/backcolor] 【文题(必填)】Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures 【年份(必填)】2015 【全文链接或数据库 ...2019-8-9 23:15 - hnhs100 - 求助成功区

Sieve bootstrap monitoring for change from short to long memory process
2 个回复 - 422 次查看【作者(必填)】 Chen Z, Xing Y, Li F. 【文题(必填)】 Sieve bootstrap monitoring for change from short to long memory process[J]. Economic letters, 2016(140): 53-56 【年份(必填)】 2016 【全文链接或 ...2019-3-4 10:48 - 肖恩同学 - 求助成功区

Time Series Analysis with Long Memory in View
40 个回复 - 2234 次查看 Wiley | 2019 | ISBN 978-1-119-47042-7 | 279 pages | PDF **** 本内容被作者隐藏 ****2018-10-15 10:51 - igs816 - 经管书评

Detecting multiple breaks in long memory: the case of U.S.inflation
2 个回复 - 491 次查看【作者(必填)】 Hassler U, Meller B[/backcolor] 【文题(必填)】 Detecting multiple breaks in long memory: the case of U.S.inflation[/backcolor] 【年份(必填)】 2014 【全文链接或数据库名称(选填)】Ha ...2018-3-1 18:05 - 肖恩同学 - 求助成功区

Sieve bootstrap monitoring for change from short to long memory
2 个回复 - 606 次查看【作者(必填)】 Chen Z S, Xing Y H, Li F X. 【文题(必填)】 Sieve bootstrap monitoring for change from short tolong memory 【年份(必填)】 2016 【全文链接或数据库名称(选填)】2018-3-1 18:03 - 肖恩同学 - 求助成功区

Sieve bootstrap monitoring persistence change in long memory process
0 个回复 - 484 次查看【作者(必填)】 Chen Z S, Tian Z. 【文题(必填)】 Sieve bootstrap monitoring persistence change in longmemory process 【年份(必填)】 2016 【全文链接或数据库名称(选填)】Chen Z S, Tian Z. Sieve boot ...2018-3-1 18:00 - 肖恩同学 - 文献求助专区

【求助文献一篇】long memory versus structural breaks:an overview
1 个回复 - 633 次查看【作者(必填)】 Sibberten P 【文题(必填)】 long memory versus structural breaks:an overview 【年份(必填)】 2004 【全文链接或数据库名称(选填)】Stat Pap2017-11-7 10:17 - 肖恩同学 - 求助成功区

Adjusted empirical likelihood for long-memory time-series models
1 个回复 - 476 次查看【作者(必填)】 Ramadha D. Piyadi Gamage, Wei Ning & Arjun K. Gupta 【文题(必填)】 Adjusted empirical likelihood for long-memory time-series models 【年份(必填)】 2016 【全文链接或数据库名称(选填 ...2017-10-16 17:44 - 肖恩同学 - 求助成功区

Time series analysis of long memory versus structural breaks: a time-varying mem
4 个回复 - 795 次查看【作者(必填)】【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】2017-9-5 15:34 - 肖恩同学 - 求助成功区

不用了Forecasting realized volatility using a long-memory stochastic volatility
2 个回复 - 550 次查看【作者(必填)】RohitDeoCliffordHurvichYiLu 【文题(必填)】Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 【年份(必填)】 ...2017-10-3 11:11 - 醋姐 - 求助成功区

Useful Books on Long Memory Processes
1 个回复 - 809 次查看最近一直在研究Long Memory Processes，收集些比较有用的工具书和大家分享一下：2017-8-8 10:10 - tybtch - 计量经济学与统计软件

Component-wise Representations of Long-memory Models and Volatility Prediction
2 个回复 - 949 次查看【作者(必填)】Tommaso Proietti 【文题(必填)】Component-wise Representations of Long-memory Models and Volatility Prediction 【年份(必填)】2016 【全文链接或数据库名称(选填)】http://jfec.oxfordjo ...2016-6-23 16:58 - hnhs100 - 求助成功区

Experimental confirmation of long-memory correlations in star-wander data
3 个回复 - 589 次查看【作者(必填)】https://scholar.google.com/citations?view_op=view_citation&hl=en&user=NynEwzEAAAAJ&citation_for_view=NynEwzEAAAAJ:2osOgNQ5qMEC 【文题(必填)】Experimental confirmation of long-memory c ...2017-5-12 10:03 - 三世相思2013 - 求助成功区

Long memory and tail dependence in trading volume and volatility
1 个回复 - 517 次查看【作者(必填)】 Eduardo Rossia, 1, 2, , Paolo Santucci de Magistrisb, 【文题(必填)】 Long memory and tail dependence in trading volume and volatility 【年份(必填)】 2013 【全文链接或数据库名称(选填 ...2017-4-1 09:57 - internet.hzx - 求助成功区

求助英文文献两篇A note on a representation and calculation of the long-memory Or
3 个回复 - 1023 次查看 1【作者(必填)】Høg, Esben. 【文题(必填)】A note on a representation and calculation of the long-memory Ornstein-Uhlenbeck process. / 【年份(必填)】1999 【全文链接或数据库名称(选填)】M ...2013-4-11 23:11 - weilinhy - 文献求助专区

求助！！！长记忆时间序列（long memory）关于长记忆指数的估计程序
0 个回复 - 907 次查看求助！！！长记忆时间序列（long memory）关于长记忆指数的估计的程序代码，（matlab和R语言都可）。希望各路大神帮忙2016-7-15 10:55 - mico123 - 爱问频道

求wiely文献一篇AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL
1 个回复 - 611 次查看【作者(必填)】 C. W. J. Granger and Roselyne Joyeux 【文题(必填)】AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 【年份(必填)】1980 【全文链接或数据库名称(选 ...2016-7-11 17:49 - mgymgy - 求助成功区

Long memory in log-range series: Do structural breaks matter?
3 个回复 - 793 次查看 Long memory in log-range series: Do structural breaks matter?2015-10-27 20:33 - lucky187 - 求助成功区

Change in non-parametric regression with long memory errors
1 个回复 - 622 次查看 Change in non-parametric regression with long memory errors wang lihong2016-5-17 17:42 - lucky187 - 求助成功区

The nonparametric estimation of long memory spatio-temporal random field models
1 个回复 - 620 次查看 The nonparametric estimation of long memory spatio-temporal random field models WANG LiHong Department of Mathematics, Nanjing University, Nanjing 210093, China2016-5-17 16:51 - lucky187 - 求助成功区

Asymptotic properties of nonparametric regression for long memory random fields
1 个回复 - 641 次查看 Asymptotic properties of nonparametric regression for long memory random fields Original Research Article Journal of Statistical Planning and Inference, Volume 140, Issue 3, March 2010, Pages 837-85 ...2016-5-17 16:10 - lucky187 - 求助成功区

求文献Volatility of stock market and exchange rate returns in Peru: Long memory
2 个回复 - 683 次查看【作者(必填)】Andrés Herrera AramburúRelated information1Department of Economics, Pontificia Universidad Católica del Perú, Av. Universitaria 1801, Lima 32, Lima, Perú , Gabriel RodríguezRela ...2016-5-7 17:25 - weilinhy - 求助成功区

On parameter estimation for locally stationary long memory
1 个回复 - 542 次查看 On parameter estimation for locally stationary long-memory processes Journal of Statistical Planning and Inference, Volume 139, Issue 3, 1 March 2009, Pages 900-915 Jan Beran2016-4-16 09:17 - lucky187 - 求助成功区

Change-Point Detection with Rank Statistics in Long-Memory Time-Series Models
3 个回复 - 1040 次查看【作者(必填)】 Lihong Wang 【文题(必填)】 Change-Point Detection with Rank Statistics in Long-Memory Time-Series Models 【年份(必填)】 2008 【全文链接或数据库名称(选填)】2016-4-8 19:05 - mico123 - 求助成功区

Occasional structural breaks and long memory with an application
2 个回复 - 736 次查看 Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns2015-11-4 09:02 - lucky187 - 求助成功区

On parameter estimation for locally stationary long-memory processes
2 个回复 - 728 次查看 On parameter estimation for locally stationary long-memory processes2016-3-2 09:00 - lucky187 - 求助成功区

Sieve bootstrap monitoring for change from short to long memory
1 个回复 - 668 次查看 Sieve bootstrap monitoring for change from short to long memory2016-3-2 08:55 - lucky187 - 求助成功区

A CUSUM test for a long memory heterogeneous autoregressive model
2 个回复 - 1008 次查看【作者(必填)】【文题(必填)】A CUSUM test for a long memory heterogeneous autoregressive model 【年份(必填)】【全文链接或数据库名称(选填)】http://www.sciencedirect.com/science/article/pii/S016 ...2016-1-15 10:03 - dandan0407 - 求助成功区

Long memory and level shifts in REITs returns
2 个回复 - 645 次查看 Long memory and level shifts in REITs returns2016-1-6 13:05 - lucky187 - 求助成功区

The estimation and application of long memory time series models.
1 个回复 - 692 次查看 GEWEKE, J. & PORTER-HUDAK, S. (1983). The estimation and application of long memory time series models. J. Time Ser. Anal. 4, 221-37.2016-1-4 08:48 - lucky187 - 求助成功区

Estimation of the long-memory parameter, based on a multivariate central
1 个回复 - 587 次查看 BERAN, J. & TERRIN, N. (1994). Estimation of the long-memory parameter, based on a multivariate central limit theorem. J. Time Ser. Anal. 15, 269-84.2016-1-4 08:46 - lucky187 - 求助成功区

Constancy test for FARIMA long memory processes
2 个回复 - 900 次查看 Constancy test for FARIMA long memory processes2015-12-12 16:50 - lucky187 - 求助成功区

) Real and spurious long-memory properties of stock-market data
3 个回复 - 728 次查看 ) Real and spurious long-memory properties of stock-market data2015-12-4 11:05 - lucky187 - 求助成功区

文献statistics for long memory processes
3 个回复 - 1296 次查看 statistics for long memory processes.1994.Beran,J.2015-11-7 15:12 - lucky187 - 求助成功区

Long memory relationships
1 个回复 - 591 次查看 Granger, C.W.J., 1980. Long memory relationships and the aggregation of dynamic models. Journal of Econometrics 14, 227–238.2015-11-7 16:19 - lucky187 - 求助成功区

Testing for a change of the long-memory parameter
1 个回复 - 707 次查看 Beran, J., Terrin, N., 1996. Testing for a change of the long-memory parameter. Biometrika 83, 627–638.2015-11-7 16:17 - lucky187 - 求助成功区

Forecasting a long memory process
1 个回复 - 687 次查看 Wang, C. S.-H., Bauwens, L., & Hsiao, C. (2013). Forecasting a long memory process subject to structural breaks. Journal of Econometrics, 177, 171-184.2015-11-7 15:18 - lucky187 - 求助成功区

Long Memory versus Structural Breaks in Modeling and Forecasting
1 个回复 - 424 次查看 Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility2015-11-4 09:00 - lucky187 - 求助成功区

Modelling structural breaks, long memory
1 个回复 - 609 次查看 Modelling structural breaks, long memory and stock market volatility: an overview2015-11-4 09:04 - lucky187 - 求助成功区

Long memory versus structural breaks: an overview
4 个回复 - 749 次查看 Long memory versus structural breaks: an overview2015-10-29 12:42 - lucky187 - 求助成功区

Long memory versus structural breaks in modelling
3 个回复 - 540 次查看 Long memory versus structural breaks in modelling and forecasting realized volatility2015-10-29 12:40 - lucky187 - 求助成功区

Long memory and regime switching
3 个回复 - 627 次查看 Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model2015-10-27 20:38 - lucky187 - 求助成功区

On rapid change points under long memory
2 个回复 - 631 次查看 On rapid change[/backcolor] points[/backcolor] under long[/backcolor] memory[/backcolor]2015-10-15 21:28 - lucky187 - 求助成功区

Power transformations of absolute returns and long memory estimation
1 个回复 - 576 次查看 Power transformations of absolute returns and long[/backcolor] memory[/backcolor] estimation[/backcolor]2015-10-15 21:36 - lucky187 - 求助成功区

A two-sample test for comparison of long memory parameters
2 个回复 - 733 次查看 A two-sample test for comparison of long memory parameters2015-10-9 20:09 - lucky187 - 求助成功区

Testing for structural change in a long-memory environment
1 个回复 - 621 次查看 Testing[/backcolor] for structural[/backcolor] change[/backcolor] in a long-memory[/backcolor] environment2015-10-7 15:31 - lucky187 - 求助成功区

Testing for structural change in regression with long memory processes
1 个回复 - 590 次查看 Testing[/backcolor] for structural[/backcolor] change[/backcolor] in regression[/backcolor] with long[/backcolor] memory[/backcolor] processes[/backcolor]2015-10-7 15:23 - lucky187 - 求助成功区

the estimation of long memory series in both full and semi parametric setups
4 个回复 - 810 次查看 the estimation of long memory series in both full and semi parametric setups,长记忆序列中的全参和半参是啥意思？求解释2015-10-6 16:25 - lucky187 - 爱问频道

Forecasting long memory series subject to structural change: A two-stage approac
1 个回复 - 428 次查看 Forecasting long memory series subject to structural change: A two-stage approach2015-9-28 15:39 - lucky187 - 求助成功区

A modified test against spurious long memory
1 个回复 - 565 次查看 A modified test against spurious long memory2015-9-28 15:40 - lucky187 - 求助成功区

Long memory dynamics for multivariate dependence under heavy tails
2 个回复 - 672 次查看【作者(必填)】Paweł Janusa, Siem Jan Koopmanb, AndréLucasd, 【文题(必填)】 Long memory dynamics for multivariatedependence under heavy tails 【全文链接或数据库名称(选填)】http://www.scienc ...2015-5-27 08:43 - dandan0407 - 求助成功区

文献求助：Limit theory of quadratic forms of long-memory
2 个回复 - 900 次查看【题名】： Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations【作者】： Chan, NH; Zhang, RM 【期刊、会议、单位名称】：JOURNAL OF MULTIVARIATE ANALYS ...2015-4-6 13:34 - dandan0407 - 论文版

Long-Memory Processes Probabilistic Properties and Statistical Methods 【下载】
8 个回复 - 2278 次查看 Long Memory Processes: Probabilistic Properties and Statistical Methods Jan Beran, Yuanhua Feng, Sucharita Ghosh, Rafal Kulik Long-memory processes are known to play an important part in man ...2013-6-25 09:34 - bsy9142 - 计量经济学与统计软件

求书：statistics for long memory processes
4 个回复 - 1053 次查看各位大神，谁有statistics for long memory processes 这本书，给我发一个吧。论坛上也能搜到，无奈没有论坛币，下载不了。(http://bbs.pinggu.org/thread-887916-1-1.html) 我的邮箱是：谢谢啦。2015-3-28 17:27 - ecook - 爱问频道

50论坛币求助degruyter上的论文：Volatility Components and Long Memory-Effects
5 个回复 - 874 次查看【作者(必填)】 [*]Markus Haas 【文题(必填)】Volatility Components and Long Memory-Effects 【年份(必填)】 2007 【全文链接或数据库名称(选填)】 degruyter：http://www.degruyter.com/view/j/ ... ...2014-12-17 15:01 - newhotter - 求助成功区

Smooth Transition Models with Long Memory using Matlab
1 个回复 - 918 次查看 Smooth Transition Models with Long Memory Click here to download a zip file containing a set of Matlab codes to estimate the logistic smooth transtion regression models with long memory. The model is ...2014-11-27 22:14 - Nicolle - HLM专版

Long-Memory Processes Probabilistic Properties and Statistical Methods
0 个回复 - 730 次查看 Jan Beran Yuanhua Feng Sucharita Ghosh Rafal Kulik Long-Memory Processes Probabilistic Properties and Statistical Methods2014-10-16 20:16 - li_mao - 计量经济学与统计软件

Asymmetry and Long Memory in Volatility Modeling
2 个回复 - 994 次查看【作者(必填)】Manabu Asai, Michael McAleer, and Marcelo C. Medeiros 【文题(必填)】Asymmetry and Long Memory in Volatility Modeling 【年份(必填)】2012 【全文链接或数据库名称(选填)】http://jfec ...2014-8-31 22:44 - hnhs100 - 求助成功区

Taylor&Francis:Long memory in international equity markets: revisited
1 个回复 - 1136 次查看【作者(必填)】 Ata Assafa* 【文题(必填)】 Long memory in international equity markets: revisited【年份(必填)】 2008 【全文链接或数据库名称(选填)】http://www.tandfonline.com/doi/abs/10.1080/174465 ...2014-7-10 19:16 - qijiongli - 求助成功区

sciencedirect:Long memory in US disaggregated petroleum consumption: Evidence fr
3 个回复 - 1195 次查看【作者(必填)】 [*]Hooi Hooi Leana, [*]Russell Smythb, , 【文题(必填)】 Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional i ...2014-7-10 19:02 - qijiongli - 求助成功区

sciencedirect:Real or spurious long memory characteristics of volatility: Empiri
2 个回复 - 1191 次查看【作者(必填)】 [*]Abdullah Yalamaa, b, , , [*]Sibel Celikc, 【文题(必填)】 Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market【年份(必填)】 ...2014-7-10 19:05 - qijiongli - 求助成功区

sciencedirect:The Tunisian stock market index volatility: Long memory vs. switch
1 个回复 - 1005 次查看【作者(必填)】 [*]Lanouar Charfeddinea, , , [*]Ahdi Noomen Ajmib, c, 【文题(必填)】 The Tunisian stock market index volatility: Long memory vs. switching regime【年份(必填)】 2013 【全文链接或 ...2014-7-10 19:10 - qijiongli - 求助成功区

sciencedirect:Some comments on Hurst exponent and the long memory processes on c
1 个回复 - 1193 次查看【作者(必填)】 [*]M.A. Sánchez Graneroa, 1, , [*]J.E. Trinidad Segoviab, , 2, , [*]J. García Pérezc, 3, 【文题(必填)】 Some comments on Hurst exponent and the long memory processes on capit ...2014-7-8 23:39 - qijiongli - 求助成功区

Nonlinear and Long Memory Models
2 个回复 - 957 次查看【作者(必填)】George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel 【文题(必填)】Nonlinear and Long Memory Models 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://onlinelibrary.wile ...2013-6-18 02:56 - violinangel - 求助成功区

考虑long memory和不考虑的回归代码怎么写
1 个回复 - 1447 次查看 Estimate the following regression rlzvar＝c + trading volume + error Before and after filtering the long memory component for all the variab ...2014-5-27 08:00 - lattepoon - Stata专版

【求书】Statistics for Long-Memory Processes
13 个回复 - 5020 次查看 Statistics for Long-Memory Processes (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) Author: Jan Beran Publisher: Chapman and Hall/CRC Keywords: statistics, amp monographs, appl ...2010-8-17 22:45 - peterf - 计量经济学与统计软件

[下载] Long Memory in Economics - Springer 2007
2 个回复 - 1820 次查看 Long Memory in Economics ~ Gilles Teyssiere (Editor), Alan P. Kirman (Series Editor) "Econometric modelling of financial data received a broad interest in the last 20 years and the literature on ARC ...2010-3-19 09:58 - stanleyjunjun - 计量经济学与统计软件

求：Large Sample Inference for Long Memory Processes
0 个回复 - 1997 次查看作者: Giraitis, Liudas； Koul, Hira L. ；Surgailis, Donatas2013-6-15 17:15 - 未了情 - 悬赏大厅

Long memory in economics
2 个回复 - 768 次查看 Teyssiere G., Kirman A. (eds.) Long memory in economics (Springer, 2007)2012-11-15 04:36 - mobham121 - 宏观经济学

Long-Memory Time Series - Theory and Methods - 2007
8 个回复 - 2054 次查看 Long-Memory Time Series - Theory and Methods - 2007 307pages by Wilfred0 Palma 1 Stationary Processes 2 State Space Systems 3 Long-Memory Processes 4 Estimation Methods 5 Asymptotic Th ...2009-6-23 08:27 - dengtiruo - 计量经济学与统计软件

A simple approximate long-memory model of realized volatility
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