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Testing for neglected nonlinearity in long memory models

Baillie, Richard; Kapetanios, George - 2005

This paper constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated, long memory component in a time series process. The tests are based on artificial neural network structures and do not restrict the parametric form of the nonlinearity. The...

Persistent link: https://www.econbiz.de/10010284110

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994 - current version

Persistent link: https://www.econbiz.de/10000891757

Nonlinear models for strongly dependent processes with financial applications

Baillie, Richard; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71

Persistent link: https://www.econbiz.de/10003783785

Modelling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach

Baillie, Richard; Morana, Claudio - In: Journal of economic dynamics & control 33 (2009) 8, pp. 1577-1592

Persistent link: https://www.econbiz.de/10003861075

Modeling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach

Baillie, Richard (contributor); Morana, Claudio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003428583

Testing for neglected nonlinearity in long-memory models

Baillie, Richard; Kapetanios, George - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 447-461

Persistent link: https://www.econbiz.de/10003566060

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143

Persistent link: https://www.econbiz.de/10011300500

Estimation and inference for impulse response functions from univariate strongly persistent processes

Baillie, Richard; Kapetanios, George - In: The econometrics journal 16 (2013) 3, pp. 373-399

Persistent link: https://www.econbiz.de/10010253634

Adaptive ARFIMA models with applications to inflation

Baillie, Richard; Morana, Claudio - In: Economic modelling 29 (2012) 6, pp. 2451-2459

Persistent link: https://www.econbiz.de/10009673677

Testing for neglected nonlinearity in long memory models

Baillie, Richard (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808664