Detecting long-range dependence with truncated ratios of periodogram ordinates
Work
Year: 2020
Type: article
Abstract: We propose new tests for testing hypotheses about the memory parameter that are based on ratios of periodogram ordinates. They are highly robust against conditional heteroskedasticity and outliers and... more
Institution University of Vienna
Cites: 46
Cited by: 4
Related to: 10
FWCI: 0.871
Citation percentile (by year/subfield): 63.72
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid