Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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Keyword: LONG MEMORY

The following papers have the keyword Long memory:

  A RESIDUAL-BASED LM TEST FOR FRACTIONAL COINTEGRATION
  Time & Location: COINTEGRATION AND INFERENCE
Monday 26th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Hassler, Uwe

  AGGREGATION AND MEMORY OF MODELS OF CHANGING VOLATILITY
  Time & Location: VOLATILITY MODELS I
Wednesday 28th August 2002, 09:30 - 11:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Zaffaroni, Paolo

  BUBBLES AND LONG RANGE DEPENDENCE IN ASSET PRICES VOLATILITIES
  Time & Location: LONG MEMORY I
Monday 26th August 2002, 14:30 - 16:00, Room: 1.14
  Category: Econometrics
  Presenter(s): Teyssiere, Gilles

  CONSISTENT TESTING OF COINTEGRATING RELATIONSHIPS
  Time & Location: COINTEGRATION: ESTIMATION II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Marmol, Francesc

  GAUSSIAN SEMIPARAMETRIC INFERENCE ON LONG MEMORY IN STOCHASTIC VOLATILITY MODELS
  Time & Location: LONG MEMORY I
Monday 26th August 2002, 14:30 - 16:00, Room: 1.14
  Category: Econometrics
  Presenter(s): Arteche, Josu

  LOCAL WHITTLE ANALYSIS OF STATIONARY FRACTIONAL COINTEGRATION
  Time & Location: COINTEGRATION: ESTIMATION I
Sunday 25th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Nielsen, Morten

  LONG RANGE DEPENDENCE IN DAILY STOCK RETURNS
  Time & Location: LONG MEMORY I
Monday 26th August 2002, 14:30 - 16:00, Room: 1.14
  Category: Econometrics
  Presenter(s): Caporale, Guglielmo Maria

  MULTIVARIATE DIAGONAL FIGARCH: SPECIFICATION, ESTIMATION AND APPLICATION TO MODELLING EXCHANGE RATES VOLATILITY
  Time & Location: GARCH MODELS IV
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.7
  Category: Econometrics
  Presenter(s): Matyas, Laszlo

Total Papers Listed: 8


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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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