Add to ORKGAbstractWe introduce a new statistic written as a sum of certain ratios of second-order increments o...
In this paper we show that the monthly structure of the US money stock can be specified in terms of ...
This paper introduces a multivariate long-memory model with structural breaks. In the proposed frame...
This note examines a new problem in the structural-change literature. A fractionally integrated mode...
AbstractA flexible class of anisotropic stationary lattice processes with long memory can be defined...
The idea of stochastic sediment transport models emerged in the 1930s, notably with the doctoral wor...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH m...
This paper generalizes the standard long memory modeling by assuming that the long memory parameter ...
URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2008.htmPublish in Communicat...
International audienceTesting the fractionally integrated order of seasonal and nonseasonal unit roo...
OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory...
We propose an extension of structural fractionally integrated vector autoregressive models that avoi...
Through chaos decomposition we improve the Varadhan estimate for the rate of convergence of the cen...
This is a mini-course consisting of three talks on the theme : ``Stochastic Systems with Memory , ...
AbstractWe introduce a new statistic written as a sum of certain ratios of second-order increments o...
In this paper we show that the monthly structure of the US money stock can be specified in terms of ...
This paper introduces a multivariate long-memory model with structural breaks. In the proposed frame...
This note examines a new problem in the structural-change literature. A fractionally integrated mode...
AbstractA flexible class of anisotropic stationary lattice processes with long memory can be defined...
The idea of stochastic sediment transport models emerged in the 1930s, notably with the doctoral wor...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH m...
This paper generalizes the standard long memory modeling by assuming that the long memory parameter ...
URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2008.htmPublish in Communicat...
International audienceTesting the fractionally integrated order of seasonal and nonseasonal unit roo...
OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory...
We propose an extension of structural fractionally integrated vector autoregressive models that avoi...
Through chaos decomposition we improve the Varadhan estimate for the rate of convergence of the cen...
This is a mini-course consisting of three talks on the theme : ``Stochastic Systems with Memory , ...
AbstractWe introduce a new statistic written as a sum of certain ratios of second-order increments o...
In this paper we show that the monthly structure of the US money stock can be specified in terms of ...
This paper introduces a multivariate long-memory model with structural breaks. In the proposed frame...