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Citations for "Gaussian Semi-parametric Estimation of Fractional Cointegration"

by Carlos Velasco

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  1. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1587, Cowles Foundation for Research in Economics, Yale University.
  2. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers, Queen's University, Department of Economics 1101, Queen's University, Department of Economics.
  3. Shimotsu, Katsumi, 2010. "Exact Local Whittle Estimation Of Fractional Integration With Unknown Mean And Time Trend," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 26(02), pages 501-540, April.
  4. Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2007/525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  5. Luis Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(2), pages 119-124.
  6. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, Elsevier, vol. 174(2), pages 66-81.
  7. Per Frederiksen & Morten Orregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 496-512, Fall.
  8. Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, School of Economics and Management, University of Aarhus.
  9. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Working Papers halshs-00536140, HAL.
  10. Thanasis Stengos & M. Ege Yazgan, 2011. "Persistence in Convergence," Working Paper Series, The Rimini Centre for Economic Analysis 34_11, The Rimini Centre for Economic Analysis.
  11. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
  12. Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, School of Economics and Management, University of Aarhus.
  13. Peter M. Robinson, 2007. "Multiple local whittle estimation in stationary systems," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 4436, London School of Economics and Political Science, LSE Library.
  14. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2009. "Local polynomial Whittle estimation of perturbed fractional processes," Working Papers, Queen's University, Department of Economics 1218, Queen's University, Department of Economics.
  15. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," AMSE Working Papers 1353, Aix-Marseille School of Economics, Marseille, France, revised 29 Oct 2013.
  16. Josu Artech & Peter M Robinson, 1998. "Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /1998/360, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  17. Nielsen, Morten Oe., . "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers, School of Economics and Management, University of Aarhus 2002-17, School of Economics and Management, University of Aarhus.
  18. Morten �rregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(4), pages 405-443.
  19. Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006. "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, Elsevier, vol. 133(1), pages 343-371, July.
  20. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, Elsevier, vol. 34(C), pages 98-105.
  21. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1244, Cowles Foundation for Research in Economics, Yale University.
  22. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 574-596, December.
  23. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series 1950, CESifo Group Munich.
  24. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 15/05, School of Economics and Business Administration, University of Navarra.
  25. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
  26. Bent Jesper Christensen & Morten Ø. Nielsen, . "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers, School of Economics and Management, University of Aarhus 2001-4, School of Economics and Management, University of Aarhus.
  27. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  28. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics, EconWPA 0412006, EconWPA.
  29. Morten Oerregaard Nielsen, . "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers, School of Economics and Management, University of Aarhus 2002-8, School of Economics and Management, University of Aarhus.
  30. repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS
  31. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 263-298.
  32. Katsumi Shimotsu, 2003. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Economics Discussion Papers, University of Essex, Department of Economics 570, University of Essex, Department of Economics.
  33. Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 714-728, September.
  34. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics, EconWPA 0412007, EconWPA.
  35. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(4), pages 882-891, April.
  36. Antonio N. Bojanic, 2009. "The impact of tin on the economic growth of Bolivia," COYUNTURA ECONÓMICA, FEDESARROLLO, FEDESARROLLO.
  37. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1266, Cowles Foundation for Research in Economics, Yale University, revised Sep 2003.
  38. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus.
  39. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, School of Economics and Management, University of Aarhus.