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Long Memory Series with Attractors

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Author Info
Clive Granger
Jeff Hallman

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Abstract

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Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 90-9.

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Date of creation: Mar 1990
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Handle: RePEc:cdl:ucsdec:90-9

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  1. Herwany, Aldrin & Febrian, Erie, 2008. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," MPRA Paper 10259, University Library of Munich, Germany. [Downloadable!]
  2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Economics and Finance Discussion Papers 05-17, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  3. H. Karlsen & T. Myklebust & D. Tjostheim, . "Nonparametric Estimation in a Nonlinear Cointegration Type Model," Sonderforschungsbereich 373 2000-33, Humboldt Universitaet Berlin.
  4. J. Breitung & C. Wulff, . "Nonlinear Error Correction and the Efficient Market Hypothesis: The Case of German Dual-Class Shares," Sonderforschungsbereich 373 1999-67, Humboldt Universitaet Berlin.
  5. Jeffrey J. Hallman, 1990. "Cointegration and transformed series," Working Paper 9014, Federal Reserve Bank of Cleveland. [Downloadable!]
  6. Canegrati, Emanuele, 2008. "In Search of Market Index Leaders: Evidence from World Financial Markets," MPRA Paper 11292, University Library of Munich, Germany. [Downloadable!]
  7. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor and Francis Journals, vol. 12(4), pages 199-202, March. [Downloadable!] (restricted)
  8. Canegrati, Emanueke, 2008. "In Search of Market Index Leaders: Evidence from Asian Markets," MPRA Paper 11246, University Library of Munich, Germany. [Downloadable!]
  9. Febrian, Erie & Herwany, Aldrin, 2007. "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper 9632, University Library of Munich, Germany. [Downloadable!]
  10. Yann Schorderet, 2003. "Asymmetric Cointegration," Cahiers du Département d'Econométrie 2003.01, Département d'Econométrie, Université de Genève. [Downloadable!]
  11. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November. [Downloadable!] (restricted)
  12. Luis A. Aguirre & Antonio Aguirre, 1997. "A tutorial introduction to nonlinear dynamics in economics," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 7(2), pages 9-47. [Downloadable!]
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  13. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas. [Downloadable!]
    Other versions:
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  14. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  15. A. Kanas, 2003. "Non-linear cointegration between stock prices and dividends," Applied Economics Letters, Taylor and Francis Journals, vol. 10(7), pages 401-405, May. [Downloadable!] (restricted)
  16. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009. [Downloadable!]
  17. Aldrin Herwany & Erie Febrian, 2009. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," Working Papers in Economics and Development Studies (WoPEDS) 200909, Department of Economics, Padjadjaran University, revised Sep 2009. [Downloadable!]
  18. Alfred A. Haug & Syed A. Basher, 2004. "Unit Roots, Nonlinear Cointegration and Purchasing Power Parity," Econometrics 0401006, EconWPA, revised 16 Nov 2005. [Downloadable!]
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  19. Roberto Ricciuti, 2004. "Nonlinearity in testing for fiscal sustainability," Money Macro and Finance (MMF) Research Group Conference 2003 80, Money Macro and Finance Research Group. [Downloadable!]
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