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

Baillie, Richard T.; Morana, Claudio - 2007

This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

Persistent link: https://www.econbiz.de/10010284151

Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models

Chung, Ching-fan - In: Empirical economics : a journal of the Institute for … 18 (1993) 4, pp. 791-806

Persistent link: https://www.econbiz.de/10001331519

Common stochastic trends in a system of exchange rates

Baillie, Richard - In: The journal of finance : the journal of the American … 44 (1989) 1, pp. 167-181

Persistent link: https://www.econbiz.de/10001063241

Fractional differencing and long memory processes

Baillie, Richard (contributor); King, Maxwell L. (contributor) - In: Journal of econometrics 73 (1996) 1

Persistent link: https://www.econbiz.de/10001206521

A minimum distance estimator for long-memory processes

Tieslau, Margie A. - In: Journal of econometrics 71 (1996) 1, pp. 249-264

Persistent link: https://www.econbiz.de/10001194734

Analysing inflation by the fractionally integrated ARFIMA-GARCH model

Baillie, Richard - In: Journal of applied econometrics 11 (1996) 1, pp. 23-40

Persistent link: https://www.econbiz.de/10001196179

Fractionally integrated generalized autoregressive conditional heteroskedasticity

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

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

Choices between OLS with robust inference and feasible GLS in time series regressions

Baillie, Richard; Kim, Kun Ho - In: Economics letters 171 (2018), pp. 218-221

Persistent link: https://www.econbiz.de/10012021807

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

Inference for impulse response coefficients from multivariate fractionally integrated processes

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84

Persistent link: https://www.econbiz.de/10011794639

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