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Citations for "Long memory relationships and the aggregation of dynamic models"

by Granger, C. W. J.

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  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
  2. Carson, Richard T. & Cenesizoglu, Tolga & Parker, Roger, 2011. "Forecasting (aggregate) demand for US commercial air travel," International Journal of Forecasting, Elsevier, vol. 27(3), pages 923-941.
  3. Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre.
  4. Marcellino, Massimiliano, 2000. "Linear aggregation with common trends and cycles," Research in Economics, Elsevier, vol. 54(2), pages 117-131, June.
  5. Gil-Alana, Luis Alberiko & Moreno, Antonio, 2009. "Technology Shocks And Hours Worked: A Fractional Integration Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 13(05), pages 580-604, November.
  6. Barros, Carlos Pestana & Faria, Joao Ricardo & Gil-Alana, Luis A., 2008. "Terrorism against American citizens in Africa: Related to poverty," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 55-69.
  7. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. repec:lan:wpaper:3209 is not listed on IDEAS
  9. Balaguer, Jacint & Ripollés, Jordi, 2013. "Asymmetric fuel price responses under heterogeneity," MPRA Paper 52481, University Library of Munich, Germany.
  10. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, vol. 67(3), pages 325-330, June.
  11. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc.
  12. repec:hal:journl:halshs-00187875 is not listed on IDEAS
  13. Peter C.B. Phillips, 2008. "Long Memory and Long Run Variation," Cowles Foundation Discussion Papers 1656, Cowles Foundation for Research in Economics, Yale University.
  14. Baillie, Richard T. & Chung, Sang-Kuck, 2002. "Modeling and forecasting from trend-stationary long memory models with applications to climatology," International Journal of Forecasting, Elsevier, vol. 18(2), pages 215-226.
  15. Jondeau, E. & Sahuc, J-G., 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
  16. repec:lan:wpaper:3305 is not listed on IDEAS
  17. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
  18. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," CESifo Working Paper Series 4224, CESifo Group Munich.
  19. Jean-Philippe Gervais, 2011. "Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1497-1510.
  20. Fischer, Christian & Gil-Alana, Luis A., 2007. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Discussion Papers 57033, University of Bonn, Institute for Food and Resource Economics.
  21. Henry, Olan T. & Olekalns, Nilss, 2002. "Does the Australian dollar real exchange rate display mean reversion," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 651-666, October.
  22. John C. Williams, 2004. "Robust estimation and monetary policy with unobserved structural change," Working Paper Series 2004-11, Federal Reserve Bank of San Francisco.
  23. Zdeněk Štolc, 2011. "Application of FIGARCH and EWMA Models on Stock Indices PX and BUX," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2011(4), pages 25-38.
  24. Silverberg, G. & Verspagen, Bart, 1999. "Long Memory in Time Series of Economic Growth and Convergence," Working Papers 99.8, Eindhoven Center for Innovation Studies.
  25. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont.
  26. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
  27. Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," CREATES Research Papers 2012-18, School of Economics and Management, University of Aarhus.
  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. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
  30. Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 201204, University of Pretoria, Department of Economics.
  31. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
  32. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2006. "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 142(1), pages 67-91, April.
  33. Hubrich, Kirstin & Marcellino, Massimiliano & Beck, Günter W., 2011. "On the importance of sectoral and regional shocks for price-setting," Working Paper Series 1334, European Central Bank.
  34. Fabrizio Coricelli & Roman Horvath, 2008. "Price Setting And Market Structure: An Empirical Analysis Of Micro Data," William Davidson Institute Working Papers Series wp938, William Davidson Institute at the University of Michigan.
  35. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
  36. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
  37. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
  38. Marmol, Francesc, 1998. "Spurious regression theory with nonstationary fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 84(2), pages 233-250, June.
  39. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
  40. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," Working Papers 2011/8, Turkish Economic Association.
  41. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
  42. Yigit, Taner M., 2010. "Inflation targeting: An indirect approach to assess the direct impact," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1357-1368, November.
  43. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series 1950, CESifo Group Munich.
  44. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics.
  45. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1027, Universitá degli Studi di Milano.
  46. Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson, 2009. "Forecasting long memory time series under a break in persistence," Hannover Economic Papers (HEP) dp-433, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  47. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
  48. ERIC HILLEBRAND & MArcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
  49. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
  50. Luis Gil-Alana, 2002. "Modelling the Persistence of Unemployment in Canada," International Review of Applied Economics, Taylor & Francis Journals, vol. 16(4), pages 465-477.
  51. Hosoya, Yuzo, 1996. "The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence," Journal of Econometrics, Elsevier, vol. 73(1), pages 217-236, July.
  52. Juan Carlos Cuestas & Luis A. Gil-Alana, 2013. "A non-linear approach with long range dependence based on Chebyshev polynomials," Working Papers 13-01, Asociación Española de Economía y Finanzas Internacionales.
  53. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
  54. J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri.
  55. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
  56. Luis Gil-Alana, 2004. "Modelling the US real GNP with fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 873-879.
  57. Quoreshi, A.M.M. Shahiduzzaman, 2014. "Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data," CITR Working Paper Series 2014/03, Center for Innovation and Technology Research, Blekinge Institute of Technology.
  58. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
  59. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Working Papers 05-44, Bank of Canada.
  60. Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens, 2011. "Option pricing under a Gamma-modulated diffusion process," Annals of Finance, Springer, vol. 7(2), pages 199-219, May.
  61. Cleomar Gomes da Silva & Maria Carolina da Silva Leme, 2008. "Inflation and Interest Rate: Which one is more persistent in Brazil?," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807181224190, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  62. Beran, Jan & Schützner, Martin & Ghosh, Sucharita, 2010. "From short to long memory: Aggregation and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2432-2442, November.
  63. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "Hours worked - Productivity puzzle: identification in fractional integration settings," Working Papers 2072/211796, Universitat Rovira i Virgili, Department of Economics.
  64. Diks, C.G.H. & Weide, R. van der, 2003. "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers 03-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  65. Xiu, Jin & Jin, Yao, 2007. "Empirical study of ARFIMA model based on fractional differencing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 138-154.
  66. Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2005. "What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Working Papers 258, Barcelona Graduate School of Economics.
  67. Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude, 2004. "Stability of random coefficient ARCH models and aggregation schemes," Journal of Econometrics, Elsevier, vol. 120(1), pages 139-158, May.
  68. Emma Iglesias & Garry Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 95-106.
  69. Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
  70. repec:ebl:ecbull:v:3:y:2004:i:32:p:1-6 is not listed on IDEAS
  71. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
  72. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
  73. Gil-Alaña, Luis A., 2001. "The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models," SFB 373 Discussion Papers 2001,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  74. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
  75. John Barkoulas & Christopher Baum & Gurkan Oguz, 1998. "Stochastic long memory in traded goods prices," Applied Economics Letters, Taylor & Francis Journals, vol. 5(3), pages 135-138.
  76. Pesaran, M. Hashem & Chudik, Alexander, 2014. "Aggregation in large dynamic panels," Journal of Econometrics, Elsevier, vol. 178(P2), pages 273-285.
  77. O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1809-1819.
  78. 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.
  79. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
  80. Pesaran, M. H., 1999. "On Aggregation of Linear Dynamic Models," Cambridge Working Papers in Economics 9919, Faculty of Economics, University of Cambridge.
  81. Jan Babecky & Fabrizio Coricelli & Roman Horvath, 2008. "Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy," CERGE-EI Working Papers wp353, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  82. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  83. John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999. "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1393-1400.
  84. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  85. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," CESifo Working Paper Series 3208, CESifo Group Munich.
  86. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
  87. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  88. Luis Gil-Alana, 2004. "The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 429-432.
  89. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt94r403d2, Department of Economics, UC Santa Cruz.
  90. Patrick Lünnemann & Thomas Y. Mathä, 2004. "Inflation persistence in Luxembourg: a comparison with EU15 countries at the disaggregate level," BCL working papers 12, Central Bank of Luxembourg.
  91. Bertrand Candelon & Luis A. Gil-Alana, 2004. "Fractional integration and business cycle features," Empirical Economics, Springer, vol. 29(2), pages 343-359, 05.
  92. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc.
    • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
  93. Carlos Carvalho & Fernanda Nechio, 2011. "Aggregation and the PPP Puzzle in a Sticky-Price Model," American Economic Review, American Economic Association, vol. 101(6), pages 2391-2424, October.
  94. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  95. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
  96. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
  97. von Cramon-Taubadel, Stephan & Loy, Jens-Peter & Meyer, Jochen, 2003. "The Impact Of Data Aggregation On The Measurement Of Vertical Price Transmission: Evidence From German Food Prices," 2003 Annual meeting, July 27-30, Montreal, Canada 21987, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  98. Gil-Alaña, Luis A., 2000. "A fractionally integrated exponential model for UK unemployment," SFB 373 Discussion Papers 2000,67, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  99. Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
  100. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  101. Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, AccessEcon, vol. 7(3), pages 1-13.
  102. Teyssière, Gilles, 1999. "Modelling exchange rates volatility with multivariate long-memory ARCH processes," SFB 373 Discussion Papers 1999,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  103. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  104. S Coleman & M Karoglou, 2010. "Monetary Variability and Monetary Variables in the Franc Zone," Economic Issues Journal Articles, Economic Issues, vol. 15(2), pages 17-48, September.
  105. Mario Jovanovic, 2011. "Financial Uncertainty in Germany and its Impact on Western European Terrorism," Ruhr Economic Papers 0296, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  106. M. Dolores Gadea & Laura Mayoral, 2009. "Aggregation is not the solution: the PPP puzzle strikes back," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 875-894.
  107. Lee, Hyung S. & Amsler, Christine, 1997. "Consistency of the KPSS unit root test against fractionally integrated alternative," Economics Letters, Elsevier, vol. 55(2), pages 151-160, August.
  108. Luis Alberiko Gil-Alana, 2002. "Multivariate Tests of Fractionally Integrated Hypotheses," Faculty Working Papers 09/02, School of Economics and Business Administration, University of Navarra.
  109. Serpil TURKYILMAZ & Mesut BALIBEY, 2014. "Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 400-410.
  110. Nicoletta Batini, 2006. "Euro area inflation persistence," Empirical Economics, Springer, vol. 31(4), pages 977-1002, November.
  111. Davidson, James & Sibbertsen, Philipp, 2002. "Generating schemes for long memory processes: Regimes, aggregation and linearity," Technical Reports 2002,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  112. De Graeve, Ferre & De Jonghe, Olivier & Vennet, Rudi Vander, 2007. "Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 259-278, January.
  113. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2007. "Aggregating Phillips curves," Working Paper Series 0785, European Central Bank.
  114. Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics.
  115. Carlos Pestana Barros & Luis A. Gil-Alana, 2011. "Oil Prices: Persistence and Breaks," Faculty Working Papers 09/11, School of Economics and Business Administration, University of Navarra.
  116. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
  117. repec:ebl:ecbull:v:7:y:2003:i:3:p:1-13 is not listed on IDEAS
  118. Bilke, L., 2005. "Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI," Working papers 122, Banque de France.
  119. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
  120. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
  121. Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, EconWPA, revised 11 Jul 1995.
  122. Stéphane Auray & Aurélien Eyquem & Frédéric Jouneau-Sion, 2009. "Extremal behavior of aggregated economic processes in a structural growth model," Cahiers de recherche 09-17, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised 10 Mar 2010.
  123. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
  124. Coleman, Simeon, 2010. "Inflation persistence in the Franc zone: Evidence from disaggregated prices," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 426-442, March.
  125. David G. McMillan & Alan E. H. Speight, 2006. "Volatility dynamics and heterogeneous markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 115-121.
  126. Gholami, Roghieh & Lee, Sang-Yong Tom & Heshmati, Almas, 2005. "The Causal Relationship between ICT and FDI," Working Paper Series RP2005/26, World Institute for Development Economic Research (UNU-WIDER).
  127. de Melo Mendes, Beatriz Vaz & Kolev, Nikolai, 2008. "How long memory in volatility affects true dependence structure," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1070-1086, December.
  128. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
  129. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  130. repec:lan:wpaper:3207 is not listed on IDEAS
  131. Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  132. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  133. Kenneth Hightower & Taner M. Yigit, 2004. "Effect of Moments on Aggregation and Long Memory in Inflation," Econometric Society 2004 Australasian Meetings 72, Econometric Society.
  134. Rey, Serge & Varachaud, Pascal, 2000. "Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro
    [The behavior of European real exchange rates from the Bretton Woods system end to the adopt
    ," MPRA Paper 49502, University Library of Munich, Germany.
  135. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  136. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
  137. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  138. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  139. Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas, 2005. "Renewal regime switching and stable limit laws," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 299-327.
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