References
- Baillie , R. T. , Bollerslev , T. and Mikkelsen , H. O. 1996 . Fractionally integrated generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 74 : 3 – 30 .
- Berkes , I. , Horváth , L. , Kokoszka , P. and Shao , Q.-M. 2006 . On discriminating between long-range dependence and changes in mean . Annals of Statistics , 34 : 1140 – 65 .
- Bollerslev , T. , Chou , R. Y. and Kroner , K. F. 1992 . ARCH modeling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
- Breidt , F. J. , Crato , N. and de Lima , P. 1998 . The detection and estimation of long memory in stochastic volatility . Journal of Econometrics , 83 : 325 – 48 .
- Davidson , J. 2004 . Moment and memory properties of linear conditional heteroskedasticity models, and a new model . Journal of Business and Economic Statistics , 22 : 16 – 29 .
- Diebold , F. X. and Inoue , A. 2001 . Long memory and regime switching . Journal of Econometrics , 105 : 131 – 59 .
- Ding , Z. and Granger , C. W. J. 1996 . Modeling volatility persistence of speculative returns: a new approach . Journal of Econometrics , 73 : 185 – 215 .
- Dolado, J. J., Gonzalo, J. and Mayoral, L. (2005) What is what? A simple time-domain tests of long-memory vs. structural breaks, (manuscript)
- Engle , R. F. and Lee , G. G. J. 1999 . “ A permanent and transitory component model of stock return volatility ” . In Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger , Edited by: Engle , Robert F. and Halbert White . 475 – 97 . Oxford : Oxford University Press .
- Granger , C. W. J. and Hyung , N. 2004 . Occasional structural breaks and long memory . Journal of Empirical Finance , 11 : 399 – 421 .
- Granger , C. W. J. and Teräsvirta , T. 1999 . A simple nonlinear time series model with misleading linear properties . Economics Letters , 62 : 161 – 5 .
- Müller , U. A. , Dacorogna , M. M. , Davé , R. D. , Olsen , R. B. , Pictet , O. V. and von Weizsäcker , J. E. 1997 . Volatilities of different time resolutions – analyzing the dynamics of market components . Journal of Empirical Finance , 4 : 213 – 39 .
- Shimotsu, K. (2006) Exact local Whittle estimation of fractional integration with unknown mean and time trend, Queen's Economics Department Working Paper No. 1061
- Shimotsu , K. and Phillips , P. C. B. 2005 . Exact local Whittle estimation of fractional integration . Annals of Statistics , 33 : 1890 – 933 .
- Smith , A. 2005 . Level shifts and the illusion of long memory in economic time series . Journal of Business and Economic Statistics , 23 : 321 – 35 .
- Surgailis , D. , Teyssière , G. and Vaičiulis , M. 2007 . The increment ratio statistic . Journal of Multivariate Analysis , forthcoming
- Taylor , M. P. 1995 . The economics of exchange rates . Journal of Economic Literature , 33 : 13 – 47 .
- Taylor , S. J. 1986 . Modelling Financial Time Series , Chichester, , UK : Wiley .
- Wright , J. H. 2002 . Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns . Econometric Reviews , 21 : 397 – 417 .