IDEAS home Printed from https://ideas.repec.org/r/aah/aarhec/2003-10.html
   My bibliography  Save this item

Estimation of Fractional Integration in the Presence of Data Noise

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Nautz, Dieter & Scheithauer, Jan, 2011. "Monetary policy implementation and overnight rate persistence," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1375-1386.
  2. Per Frederiksen & Morten Orregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
  3. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2022. "Commodity and financial markets’ fear before and during COVID-19 pandemic: Persistence and causality analyses," Resources Policy, Elsevier, vol. 76(C).
  4. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
  5. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  6. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
  7. Svend Hylleberg, 2004. "On the Exploitation of Market Power in the Nordic Electricity Markets. The Case of Elsam," Economics Working Papers 2004-5, Department of Economics and Business Economics, Aarhus University.
  8. Grassi, Stefano & Santucci de Magistris, Paolo, 2014. "When long memory meets the Kalman filter: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
  9. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
  10. Matei Demetrescu & Mehdi Hosseinkouchack, 2022. "Autoregressive spectral estimates under ignored changes in the mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 329-340, March.
  11. Henghsiu Tsai & Heiko Rachinger & Edward M.H. Lin, 2015. "Inference of Seasonal Long-memory Time Series with Measurement Error," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 137-154, March.
  12. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
  13. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
  14. Charles, Amélie & Darné, Olivier, 2014. "Volatility persistence in crude oil markets," Energy Policy, Elsevier, vol. 65(C), pages 729-742.
  15. Davidson, James & Hashimzade, Nigar, 2009. "Type I and type II fractional Brownian motions: A reconsideration," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
  16. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  17. Hassler, Uwe & Nautz, Dieter, 2008. "On the persistence of the Eonia spread," Economics Letters, Elsevier, vol. 101(3), pages 184-187, December.
  18. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 693-724.
  19. Christian M. Hafner & Arie Preminger, 2016. "The effect of additive outliers on a fractional unit root test," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 401-420, October.
  20. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
  21. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
  22. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
  23. Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
  24. Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
  25. Grace Lee Ching Yap, 2020. "Optimal Filter Approximations for Latent Long Memory Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 547-568, August.
  26. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
  27. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
  28. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
  29. Haldrup Niels & Nielsen Morten Ø., 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
  30. Fajardo, Fabio Alexander, 2011. "Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
  31. Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
  32. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
  33. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
  34. Onsurang Norrbin & Aaron D. Smallwood, 2011. "Mean Reversion in the Real Interest Rate and the Effects of Calculating Expected Inflation," Southern Economic Journal, John Wiley & Sons, vol. 78(1), pages 107-130, July.
  35. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
  36. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.