A nonlinear long memory model, with an application to US unemployment ☆
By Dick Van Dijk, Philip Hans Franses, Richard Paap. 2002
122 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/461101cf708620a2ed6c40ecb89f3c52c33bd323
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Duc Khuong Nguyen
- Amine Lahiani
- Shawkat Hammoudeh
- Mohamed Arouri
- Perry Sadorsky
- George Filis
- Wolfgang Karl Härdle
- Stavros Degiannakis *
Citations in the corpus
- A generalized ARFIMA process with Markov-switching fractional differencing parameter (2009, methodology): “This data is based on the monthly unemployment rates contained in Bureau of Labour Statistics as those employed in van Dijk et al. (2002) for estimating a fractionally integrated smooth transition autoregressive (FI-STAR) model. However, van Dijk et al (2002) employ the original monthly unemployment”
- Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, background): “Several attempts to discriminate between long memory and nonlinearity, we know of, include Van Dijk et al. (2002), Lahiani and Scaillet (2009), Baillie and Morana (2009), and Choi et al .”