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Citations for "Long memory processes and fractional integration in econometrics" by Baillie, Richard T.
For a complete description of this item, click here .
Cited by (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.): Cotter, John, 2004.
"Uncovering Long Memory in High Frequency UK Futures ,"
MPRA Paper
3525, University Library of Munich, Germany.
[Downloadable!]
Taner Yigit, 2007.
"Inflation Targeting : An Indirect Approach to Assess the Direct Impact ,"
Departmental Working Papers
0706, Bilkent University, Department of Economics.
[Downloadable!]
Javier Gil-Bazo & Gonzalo Rubio, 2003.
"A Non-Parametric Dimension Test of the Term Structure ,"
DFAEII Working Papers
200201, University of the Basque Country - Department of Foundations of Economic Analysis II.
[Downloadable!]
Laura Mayoral, 2005.
"Further evidence on the statistical properties of Real GNP ,"
Economics Working Papers
955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
[Downloadable!]
Other versions: Cotter, John & Stevenson, Simon, 2007.
"Modeling Long Memory in REITs ,"
MPRA Paper
3500, University Library of Munich, Germany.
[Downloadable!]
Other versions: Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008.
"Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study ,"
Working Papers
0472, University of Heidelberg, Department of Economics, revised Jul 2008.
[Downloadable!]
Sandro Sapio, 2004.
"Market Design, Bidding Rules, and Long Memory in Electricity Prices ,"
LEM Papers Series
2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
[Downloadable!]
Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006.
"The non- and semiparametric analysis of MS models : some applications ,"
Discussion Paper
95, Tilburg University, Center for Economic Research.
[Downloadable!]
Ferrara, L. & Guégan, D., 2008.
"Business surveys modelling with Seasonal-Cyclical Long Memory models ,"
Documents de Travail
224, Banque de France.
[Downloadable!]
Other versions:
Laurent Ferrara & Dominique Guegan, 2008.
"Business surveys modelling with Seasonal-Cyclical Long Memory models ,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00283710_v1, HAL.
[Downloadable!] Laurent Ferrara & Dominique Guegan, 2008.
"Business surveys modelling with seasonal-cyclical long memory models ,"
Documents de travail du Centre d'Economie de la Sorbonne
b08035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
[Downloadable!] Laurent Ferrara & Dominique Guegan, 2008.
"Business surveys modelling with Seasonal-Cyclical Long Memory models ,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00277379_v1, HAL.
[Downloadable!] Laurent Ferrara & Dominique Guégan, 2008.
"Business surveys modelling with Seasonal-Cyclical Long Memory models ,"
Economics Bulletin ,
Economics Bulletin, vol. 3(29), pages 1-10.
[Downloadable!] Jonathan Dark, 2004.
"Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures ,"
Monash Econometrics and Business Statistics Working Papers
4/04, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
D. S. Poskitt, 2005.
"Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases ,"
Monash Econometrics and Business Statistics Working Papers
16/05, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
Antonio Rubia & Trino-Manuel Ñíguez, 2003.
"Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence ,"
Working Papers. Serie AD
2003-34, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
Other versions: Paul Castillo & Diego Winkelried, 2007.
"Dollarization Persistence and Individual Heterogeneity ,"
Working Papers
2007-004, Banco Central de Reserva del Perú.
[Downloadable!]
Other versions: Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007.
"The Effect of Long Memory in Volatility on Stock Market Fluctuations ,"
CREATES Research Papers
2007-03, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Vuorenmaa , Tommi, 2005.
"A wavelet analysis of scaling laws and long-memory in stock market volatility ,"
Research Discussion Papers
27/2005, Bank of Finland.
[Downloadable!]
Trino-Manuel Ñíguez, 2003.
"Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria ,"
Working Papers. Serie AD
2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
Ulrike Busch & Dieter Nautz, 2009.
"Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area ,"
SFB 649 Discussion Papers
SFB649DP2009-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008.
"Local polynomial Whittle estimation of perturbed fractional processes ,"
CREATES Research Papers
2008-29, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997.
"Nonlinear and Complex Dynamics in Economics ,"
Econometrics
9709001, EconWPA.
[Downloadable!]
Claudio Morana, 2007.
"On the macroeconomic causes of exchange rates volatility ,"
ICER Working Papers
8-2007, ICER - International Centre for Economic Research.
[Downloadable!]
Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility ,"
Center for Financial Institutions Working Papers
99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Other versions: Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999.
"Money and Interest Rates with Endogeneously Segmented Markets ,"
NBER Working Papers
7060, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Matti Vir, 2000.
"Analysing long memory and asymmetries ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 6(2), pages 240-258, June.
[Downloadable!] (restricted)
Kyongwook Choi & Eric Zivot, 2003.
"Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation ,"
EERI Research Paper Series
EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI).
[Downloadable!]
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006.
"Modelling Structural Breaks In The Us, Uk And Japanese Unemployment Rates ,"
Economics and Finance Discussion Papers
06-10, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Other versions: Quoreshi, Shahiduzzaman, 2006.
"LongMemory, Count Data, Time Series Modelling for Financial Application ,"
Umeå Economic Studies
673, Umeå University, Department of Economics.
[Downloadable!]
Verspagen,Bart, 1999.
"Intellectual Property Rights in the World Economy ,"
Research Memoranda
016, Maastricht : MERIT, Maastricht Economic Research Institute on Innovation and Technology.
[Downloadable!]
Wei Liu & Alex S. Maynard, 2007.
"A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 11(1).
[Downloadable!]
Elkin Castaño & Karoll Gómez & Santiago Gallón, 2008.
"Una nueva prueba para el parámetro de diferenciación fraccional ,"
Revista Colombiana de Estadística ,
REVISTA COLOMBIANA DE ESTADISTICA.
[Downloadable!]
Morten Ørregaard Nielsen & Per Frederiksen, 2005.
"Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ,"
Working Papers
1189, Queen's University, Department of Economics.
[Downloadable!]
Jonathan H. Wright, 2000.
"Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns ,"
International Finance Discussion Papers
685, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: L. Gil-Alana, .
"A Generalized Fractional Time Series Model ,"
Sonderforschungsbereich 373
2000-107, Humboldt Universitaet Berlin.
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.
[Downloadable!]
Pierre Perron & Zhongjun Qu, 2006.
"An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility ,"
Boston University - Department of Economics - Working Papers Series
WP2006-016, Boston University - Department of Economics.
[Downloadable!]
Yue Fang, 2000.
"When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data ,"
Econometric Society World Congress 2000 Contributed Papers
0843, Econometric Society.
[Downloadable!]
Zinovi L. Krougly & Hao Yu & A. Ian McLeod, 2007.
"Algorithms for Linear Time Series Analysis: With R Package ,"
Journal of Statistical Software ,
American Statistical Association, vol. 23(05), December.
[Downloadable!]
N. N. Leonenko & Emanuele Taufer, 2001.
"Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors ,"
Metron - International Journal of Statistics ,
Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 54-71.
[Downloadable!]
Per Frederiksen & Morten Ørregaard Nielsen, 2008.
"Bias-reduced estimation of long memory stochastic volatility ,"
CREATES Research Papers
2008-35, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Gil-Alana, Luis A. & Fischer, Christian, 2007.
"International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications ,"
105th Seminar, March 8-10, 2007, Bologna, Italy
7859, European Association of Agricultural Economists.
[Downloadable!]
Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008.
"Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal ,"
Working Papers
2008.9, Fondazione Eni Enrico Mattei.
[Downloadable!]
Other versions: Niels Haldrup & Morten O. Nielsen, 2004.
"A Regime Switching Long Memory Model for Electricity Prices ,"
Economics Working Papers
2004-2, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Jun Nagayasu, 2003.
"The Efficiency of the Japanese Equity Market ,"
IMF Working Papers
03/142, International Monetary Fund.
[Downloadable!]
Souza, Leonardo Rocha & Soares, Lacir Jorge, 2003.
"Forecasting Electricity Load Demand: Analysis of the 2001 Rationing Period in Brazil ,"
Economics Working Papers (Ensaios Economicos da EPGE)
491, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003.
"Testing and Estimating Persistence in Canadian Unemployment ,"
Econometrics
0311004, EconWPA.
[Downloadable!]
Xue-Zhong He & Youwei Li, 2005.
"Long Memory, Heterogeneity and Trend Chasing ,"
Research Paper Series
148, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!]
Other versions: Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007.
"A Multivariate Long-Memory Model with Structural Breaks ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998.
"Persistent Dependence in Foreign Exchange Rates? A Reexamination ,"
Boston College Working Papers in Economics
377, Boston College Department of Economics, revised 21 Apr 2000.
[Downloadable!]
G. K. Randolph TAN, 2004.
"Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade ,"
Econometric Society 2004 Far Eastern Meetings
732, Econometric Society.
[Downloadable!]
Morten Ørregaard Nielsen, 2008.
"A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis ,"
Working Papers
1175, Queen's University, Department of Economics.
[Downloadable!]
Other versions: B. Verspagen & G. Silverberg, 2000.
"A note on Michelacci and Zaffaroni, long memory, and time series of economic growth ,"
ECIS Working Papers
00.17, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology.
[Downloadable!]
Other versions: Sandrine Lardic & Valerie Mignon, 2004.
"The exact maximum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study ,"
Economics Bulletin ,
Economics Bulletin, vol. 3(21), pages 1-16.
[Downloadable!]
Other versions: S. Lardic & V. Mignon & F. Murtin, 2003.
"Frequency-domain estimation of fractionally integrated processes: impact of short-term components on the bandwidth ,"
THEMA Working Papers
2003-08, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
[Downloadable!]
E. Dubois & S. Lardic & V. Mignon, 2003.
"The exact maximum likelihood-based test for fractional cointegration: critical values, power and size ,"
THEMA Working Papers
2003-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
[Downloadable!]
Other versions: M. Ooms & J.A. Doornik, 1999.
"Inference and forecasting for fractional autoregressive integrated moving average models; with an application to US and UK inflation ,"
Econometric Institute Report
171, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Other versions: Taner Yigit, 2002.
"Effects of Moments on Aggregation and Long Memory in Inflation ,"
Departmental Working Papers
0210, Bilkent University, Department of Economics.
[Downloadable!]
Other versions: Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008.
"Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility ,"
Working Papers
UWEC-2008-20, University of Washington, Department of Economics.
[Downloadable!]
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006.
"Testing For Unit And Fractional Orders Of Integration In The Trend And Seasonal Components Of Us Monetary Aggregates ,"
Economics and Finance Discussion Papers
06-13, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Other versions: Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004.
"Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994 ,"
Economics and Finance Discussion Papers
04-21, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Other versions:
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004.
"Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994 ,"
Public Policy Discussion Papers
04-21, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!] Luis Alberiko Gil-Alana & Guglielmo M.Caporale, .
"Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994 ,"
Faculty Working Papers
18/05, School of Economics and Business Administration, University of Navarra.
[Downloadable!] Guglielmo Caporale & Luis Gil-Alana, 2006.
"Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994 ,"
Empirical Economics ,
Springer, vol. 31(1), pages 83-93, March.
[Downloadable!] (restricted) Haldrup, Niels & Nielsen, Morten Oe., .
"Estimation of Fractional Integration in the Presence of Data Noise ,"
Economics Working Papers
2003-10, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Quoreshi, Shahiduzzaman, 2006.
"Time Series Modelling Of High Frequency Stock Transaction Data ,"
Umeå Economic Studies
675, Umeå University, Department of Economics.
[Downloadable!]
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004.
"The Stochastic Unit Root Model And Fractional Integration: An Extension To The Seasonal Case ,"
Public Policy Discussion Papers
04-15, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Other versions: Charles S. Bos & Philip Hans Franses & Marius Ooms, 1998.
"Long Memory and Level Shifts: Re-Analyzing Inflation Rates ,"
Tinbergen Institute Discussion Papers
98-039/4, Tinbergen Institute.
[Downloadable!]
Other versions:
Bos, C.S. & Franses, P.H. & Ooms, M., 1998.
"Long Memory and Level Shifts: Re-Analyzing Inflation Rates ,"
Papers
9811/a, Erasmus University of Rotterdam - Econometric Institute.
Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998.
"Long memory and level shifts: re-analysing inflation rates ,"
Econometric Institute Report
EI 9811 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999.
"Long memory and level shifts: Re-analyzing inflation rates ,"
Empirical Economics ,
Springer, vol. 24(3), pages 427-449.
[Downloadable!] (restricted) Claudio Morana, 2000.
"Measuring core inflation in the Euro area ,"
Working Paper Series
36, European Central Bank.
[Downloadable!]
Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004.
"Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data ,"
Economics and Finance Discussion Papers
04-20, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Other versions: Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005.
"What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks ,"
Economics Working Papers
954, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
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.
[Downloadable!]
Other versions:
Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004.
"Long-run and Cyclical Dynamics in the US Stock Market ,"
Economics Series
155, Institute for Advanced Studies.
[Downloadable!] Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007.
"Long Run and Cyclical Dynamics in the US Stock Market ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!] Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005.
"Long Run And Cyclical Dynamics In The Us Stock Market ,"
Economics and Finance Discussion Papers
05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!] Silverberg, G. & Verspagen, Bart, 1999.
"Long Memory in Time Series of Economic Growth and Convergence ,"
ECIS Working Papers
99.8, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology.
[Downloadable!]
Other versions: Paul Eitelman & Justin Vitanza, 2008.
"A non-random walk revisited: short- and long-term memory in asset prices ,"
International Finance Discussion Papers
956, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Peter C.B. Phillips, 2003.
"Laws and Limits of Econometrics ,"
Cowles Foundation Discussion Papers
1397, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Luis Alberiko Gil-Alana & Antonio Moreno, .
"Technology Shocks and Hours Worked: A Fractional Integration Perspective ,"
Faculty Working Papers
03/06, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
D. Sornette & Y. Malevergne & J. F. Muzy, 2002.
"Volatility fingerprints of large shocks: Endogeneous versus exogeneous ,"
Quantitative Finance Papers
cond-mat/0204626, arXiv.org.
[Downloadable!]
Jin-Chuan Duan & Kris Jacobs, 2001.
"Short and Long Memory in Equilibrium Interest Rate Dynamics ,"
CIRANO Working Papers
2001s-22, CIRANO.
[Downloadable!]
William A. Barnett & Apostolos Serletis, 1998.
"Martingales, Nonlinearity, and Chaos ,"
Econometrics
9805003, EconWPA.
[Downloadable!]
Other versions:
Barnett, William A. & Serletis, Apostolos, 2000.
"Martingales, nonlinearity, and chaos ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(5-7), pages 703-724, June.
[Downloadable!] (restricted) Michael Dueker & Apostolos Serletis, 2000.
"Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks ,"
Working Papers
2000-016, Federal Reserve Bank of St. Louis.
[Downloadable!]
D. S. Poskitt, 2006.
"Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes ,"
Monash Econometrics and Business Statistics Working Papers
12/06, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006.
"Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach ,"
Working Papers
1029, Queen's University, Department of Economics.
[Downloadable!]
Other versions: Ooms, Marius, 1995.
"Flexible seasonal long memory and economic time series ,"
Econometric Institute Report
134, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Other versions: 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.
[Downloadable!]
Aaron Smallwood, 2004.
"Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity ,"
Computing in Economics and Finance 2004
23, Society for Computational Economics.
[Downloadable!]
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006.
"Fractional Integration And Impulse Responses: A Bivariate Application To Real Output In The Us And The Scandinavian Countries ,"
Economics and Finance Discussion Papers
06-25, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003.
"Forecasting Electricity Demand Using Generalized Long Memory ,"
Economics Working Papers (Ensaios Economicos da EPGE)
486, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Other versions: Mehmet Dalkir, 2005.
"A New Method For Estimating The Order Of Integration Of Fractionally Integrated Processes Using Bispectra ,"
Econometrics
0507001, EconWPA, revised 07 Jul 2005.
[Downloadable!]
Chien-Chiang Lee & Chun-Ping Chang, 2007.
"Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks ,"
Economics Bulletin ,
Economics Bulletin, vol. 3(23), pages 1-15.
[Downloadable!]
Gael Martin, 2001.
"Bayesian Analysis Of A Fractional Cointegration Model ,"
Econometric Reviews ,
Taylor and Francis Journals, vol. 20(2), pages 217-234.
[Downloadable!] (restricted)
Laurent Calvet & Adlai Fisher, 1999.
"Forecasting Multifractal Volatility ,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-017, New York University, Leonard N. Stern School of Business-.
[Downloadable!]
Other versions:
Laurent Calvet, 2000.
"Forecasting Multifractal Volatility ,"
Harvard Institute of Economic Research Working Papers
1902, Harvard - Institute of Economic Research.
[Downloadable!] Calvet, Laurent & Fisher, Adlai, 2001.
"Forecasting multifractal volatility ,"
Journal of Econometrics ,
Elsevier, vol. 105(1), pages 27-58, November.
[Downloadable!] (restricted) Christian Fischer & Luis Alberiko Gil-Alana, 2005.
"The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine ,"
Faculty Working Papers
15/05, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Other versions:
Fischer, Christian & Gil-Alana, Luis A., 2006.
"The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine ,"
98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece
10049, European Association of Agricultural Economists.
[Downloadable!] Fischer, Christian & Gil-Alana, Luis A., 2006.
"The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine ,"
2006 Annual Meeting, August 12-18, 2006, Queensland, Australia
25341, International Association of Agricultural Economists.
[Downloadable!] Christian Fischer & Luis Gil-Alana, 2009.
"The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine ,"
Applied Economics ,
Taylor and Francis Journals, vol. 41(11), pages 1345-1359.
[Downloadable!] (restricted) Cornelis A. Los & Joanna M. Lipka, 2004.
"Long-Term Dependence Characteristics of European Stock Indices ,"
Finance
0409044, EconWPA.
[Downloadable!]
Terry Marsh & Takao Kobayashi, 2001.
"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry ,"
CIRJE F-Series
CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
Gil-Alana, L. A., 2003.
"A Generalized Fractional Time Series Model: Testing the Order of Integration of Trend Seasonal and Cyclical components ,"
Review on Economic Cycles ,
International Association of Economic Cycles, vol. 7(1), December.
[Downloadable!]
Claudio Morana, 2008.
"Realized Betas and the Cross-Section of Expected Returns ,"
ICER Working Papers - Applied Mathematics Series
15-2008, ICER - International Centre for Economic Research.
[Downloadable!]
Nuno Cassola & Claudio Morana, 2007.
"Comovements in Volatility in the Euro Money Market ,"
ICER Working Papers
7-2007, ICER - International Centre for Economic Research.
[Downloadable!]
Youwei Li & Bas Donkers, 2004.
"The Econometric Analysis of Microscopic Simulation Models ,"
Computing in Economics and Finance 2004
195, Society for Computational Economics.
[Downloadable!]
Other versions: Christopher F Baum & Mustafa Caglayan, 2007.
"Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports ,"
Money Macro and Finance (MMF) Research Group Conference 2006
64, Money Macro and Finance Research Group.
[Downloadable!]
Federico Bandi & Benoit Perron, 2003.
"Long memory and the relation between implied and realized volatility ,"
Econometrics
0305004, EconWPA.
[Downloadable!]
Other versions: Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004.
"Persistence Characteristics of Latin American Financial Markets ,"
Finance
0411013, EconWPA.
[Downloadable!]
Other versions:
Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004.
"Persistence Characteristics of Latin American Financial Markets ,"
Finance
0409048, EconWPA.
[Downloadable!] Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006.
"Persistence characteristics of Latin American financial markets ,"
Journal of Multinational Financial Management ,
Elsevier, vol. 16(3), pages 269-290, July.
[Downloadable!] (restricted) Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007.
"An exponential FISTAR model applied to the US real effective exchange rate ,"
Working Papers
halshs-00353836_v1, HAL.
[Downloadable!]
Gary Biglaiser & Ching-to Albert Ma, 2006.
"Moonlighting: Public Service and Private Practice ,"
Boston University - Department of Economics - Working Papers Series
WP2006-015, Boston University - Department of Economics.
[Downloadable!]
Other versions: Lavan Mahadeva and Paul Robinson, 2004.
"Unit Root Testing in a Central Bank ,"
Handbooks ,
Centre for Central Banking Studies, Bank of England, number 22.
[Downloadable!]
Francis X. Diebold & Glenn D. Rudebusch, 2001.
"Five questions about business cycles ,"
Economic Review ,
Federal Reserve Bank of San Francisco, pages 1-15.
[Downloadable!]
jérôme Fillol & Fabien Tripier, 2003.
"The scaling function-based estimator of the long memory parameter: a comparative study ,"
Economics Bulletin ,
Economics Bulletin, vol. 3(23), pages 1-7.
[Downloadable!]
Laura Mayoral, 2005.
"Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks ,"
Economics Working Papers
956, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
J. Breitung & U. Hassler, .
"Inference on the Cointegration Rank in Fractionally Integrated Processes ,"
Sonderforschungsbereich 373
2000-65, Humboldt Universitaet Berlin.
Other versions:
Joerg Breitung and Uwe Hassler, 2001.
"Inference on the Cointegration Rank in Fractionally Integrated Processes ,"
Computing in Economics and Finance 2001
233, Society for Computational Economics.
Breitung, Jorg & Hassler, Uwe, 2002.
"Inference on the cointegration rank in fractionally integrated processes ,"
Journal of Econometrics ,
Elsevier, vol. 110(2), pages 167-185, October.
[Downloadable!] (restricted) Sofiane Sekioua, 2004.
"The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis ,"
Money Macro and Finance (MMF) Research Group Conference 2003
85, Money Macro and Finance Research Group.
[Downloadable!]
Paramsothy Silvapulle, 2001.
"A Score Test For Seasonal Fractional Integration And Cointegration ,"
Econometric Reviews ,
Taylor and Francis Journals, vol. 20(1), pages 85-104.
[Downloadable!] (restricted)
Other versions:
Silvapulle, P., 1995.
"A Score Test for Seasonal Fractional Integration and Cointegration ,"
Working Papers
95-08, University of Iowa, Department of Economics.
Silvapulle, P., 1996.
"A Score Test for Seasonal Fraction Integration and Cointegration ,"
Papers
96.01, La Trobe - Department of Economics.
Param Silvapulle, 1995.
"A Score Test for Seasonal Fractional Integration and Cointegration ,"
Econometrics
9506005, EconWPA, revised 16 Jun 1995.
[Downloadable!] Claudio Morana, 2006.
"Multivariate modelling of long memory processes with common components ,"
ICER Working Papers
40-2006, ICER - International Centre for Economic Research.
[Downloadable!]
Nuno Cassola & Claudio Morana, 2006.
"Comovements in volatility in the euro money market ,"
Working Paper Series
703, European Central Bank.
[Downloadable!]
Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005.
"Testing I(1) against I(d) alternatives in the presence of deteministic components ,"
Economics Working Papers
957, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
Francis X. Diebold & Atsushi Inoue, 2000.
"Long Memory and Regime Switching ,"
NBER Technical Working Papers
0264, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Morten Oerregaard Nielsen, .
"Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics ,"
Economics Working Papers
2002-7, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Diebold, F.X. & Kilian, L. & Nerlove, M., 2006.
"Time Series Analysis ,"
Working Papers
28556, University of Maryland, Department of Agricultural and Resource Economics.
[Downloadable!]
Other versions: N. Hyung & P.H.B.F. Franses, 2001.
"Structural breaks and long memory in US inflation rates ,"
Econometric Institute Report
221, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Offer Lieberman & Peter C.B. Phillips, 2006.
"A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process ,"
Cowles Foundation Discussion Papers
1586, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005.
"Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study ,"
Trinity Economics Papers
tep20021, Trinity College Dublin, Department of Economics.
[Downloadable!]
Other versions: Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997.
"A Multifractal Model of Asset Returns ,"
Cowles Foundation Discussion Papers
1164, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Morten Ørregaard Nielsen & Per Frederiksen, 2008.
"Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration ,"
Working Papers
1171, Queen's University, Department of Economics.
[Downloadable!]
Nigel Wilkins, 2004.
"Indirect Estimation of Long Memory Volatility Models ,"
Econometric Society 2004 Far Eastern Meetings
459, Econometric Society.
[Downloadable!]
Mark J. Jensen, 1997.
"An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets ,"
Econometrics
9709002, EconWPA.
[Downloadable!]
Other versions: Jorda, Oscar & Marcellino, Massimiliano, 2000.
"Stochastic Processes Subject to Time Scale Transformations: An Application to High-Frequency FX Data ,"
Working Papers
00-2, University of California at Davis, Department of Economics.
[Downloadable!]
Other versions: Pierre Perron & Zhongjun Qu, 2007.
"An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts ,"
Boston University - Department of Economics - Working Papers Series
wp2007-044, Boston University - Department of Economics.
[Downloadable!]
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.
[Downloadable!]
Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005.
"Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices ,"
Tinbergen Institute Discussion Papers
05-091/4, Tinbergen Institute.
[Downloadable!]
Other versions: Michele Pasquini & Maurizio Serva, 1999.
"Indeterminacy in foreign exchange market ,"
Quantitative Finance Papers
cond-mat/9906343, arXiv.org.
[Downloadable!]
Uwe Hassler & Francesc Marmol & Carlos Velasco, 2002.
"Residual Log-Periodogram Inference for Long-Run Relationships ,"
Darmstadt Discussion Papers in Economics
115, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology).
[Downloadable!]
Other versions: Prasad Bidarkota & Khurshid M. Kiani, 2003.
"On Business Cycle Asymmetries in G7 Countries ,"
Working Papers
0308, Florida International University, Department of Economics.
[Downloadable!]
Other versions: Haldrup; Niels & Morten Oerregaard Nielsen, 2005.
"Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices ,"
Economics Working Papers
2005-18, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Carlos Pestana Barros & Luis Gil-Alana, 2006.
"Eta: A Persistent Phenomenon ,"
Defence and Peace Economics ,
Taylor and Francis Journals, vol. 17(2), pages 95-116, April.
[Downloadable!] (restricted)
Melvin J. Hinich & Terence T.L. Chong, 2007.
"A Class Test for Fractional Integration ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 11(2).
[Downloadable!]
S. Lardic & V. Mignon, 2002.
"Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries ,"
THEMA Working Papers
2002-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
[Downloadable!]
Jussi Tolvi, 2003.
"Long memory in a small stock market ,"
Economics Bulletin ,
Economics Bulletin, vol. 7(3), pages 1-13.
[Downloadable!]
Jonathan Dark, 2004.
"Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model ,"
Monash Econometrics and Business Statistics Working Papers
7/04, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
D.J.C. Van Dijk & P.H. Franses & R. Paap, 2000.
"A nonlinear long memory model for US unemployment ,"
Econometric Institute Report
204, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Other versions: Nikolaus Hautsch & Yangguoyi Ou, 2008.
"Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference ,"
SFB 649 Discussion Papers
SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Geetesh Bhardwaj & Norman Swanson, 2004.
"An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series ,"
Departmental Working Papers
200422, Rutgers University, Department of Economics.
[Downloadable!]
Other versions: Michael Dueker & Richard Startz, 1997.
"Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve ,"
Working Papers
1994-027, Federal Reserve Bank of St. Louis.
[Downloadable!]
Nicholas Cox, 2001.
"Extensions to generate, extended: corrections ,"
Stata Technical Bulletin ,
StataCorp LP, vol. 10(57).
[Downloadable!]
Ignacio Rodríguez Carreño & L. Gila Useros, A. Malanda Trigueros, J. Navallas Irujo, J. Rodríguez Falces, S. Gómez Elvira, 2008.
"Influence of Baseline Fluctuation Cancellation on Automatic Measurement of Motor Unit Action Potential Duration ,"
Faculty Working Papers
13/08, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Jérôme Fillol, 2003.
"Multifractality: Theory and Evidence an Application to the French Stock Market ,"
Economics Bulletin ,
Economics Bulletin, vol. 3(31), pages 1-12.
[Downloadable!]
S. Lardic & V. Mignon, 2002.
"Modeling long-range dependence in European time-varying term premia ,"
THEMA Working Papers
2002-27, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
[Downloadable!]
Laura Mayoral, 2006.
"Minimum Distance Estimation of stationary and non-stationary ARFIMA Processes ,"
Economics Working Papers
959, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
Other versions: John Barkoulas & Christopher F. Baum, 1996.
"Fractional Dynamics in Japanese Financial Time Series ,"
Boston College Working Papers in Economics
334., Boston College Department of Economics.
[Downloadable!]
Other versions: 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_v1, HAL.
[Downloadable!]
Anthony Murphy & Marwan Izzeldin, 2006.
"Bootstrapping long memory tests: some Monte Carlo results ,"
Working Papers
003091, Lancaster University Management School, Economics Department.
[Downloadable!]
Other versions: Kin-Yip Ho & Ka Cheng Tsui, 2004.
"Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach ,"
Money Macro and Finance (MMF) Research Group Conference 2004
12, Money Macro and Finance Research Group.
[Downloadable!]
C.S. Bos & S.J. Koopman & M. Ooms, 2007.
"Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks ,"
Tinbergen Institute Discussion Papers
07-099/4, Tinbergen Institute.
[Downloadable!]
Other versions: Karim Abadir & Gabriel Talmain, 2005.
"Distilling co-movements from persistent macro and financial series ,"
Working Paper Series
525, European Central Bank.
[Downloadable!]
Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997.
"Multifractality of Deutschemark/US Dollar Exchange Rates ,"
Cowles Foundation Discussion Papers
1166, Cowles Foundation, Yale University.
[Downloadable!]
Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008.
"Seasonal Nonlinear Long Memory Model for the US Inflation Rates ,"
Computational Economics ,
Springer, vol. 31(3), pages 243-254, April.
[Downloadable!] (restricted)
Christopher F. Baum & Mustafa Caglayan, 2006.
"On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty ,"
Boston College Working Papers in Economics
641, Boston College Department of Economics, revised 06 Feb 2008.
[Downloadable!]
B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003.
"Persistence and Nonstationary Models ,"
Monash Econometrics and Business Statistics Working Papers
16/03, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
Ana Pérez & Esther Ruiz, 2001.
"Modelos De Memoria Larga Para Series Económicas Y Financieras ,"
Documentos de Trabajo de EstadÃstica y EconometrÃa
ds010101, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
Michael Kühl, 2008.
"Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset ,"
cege â Center for European, Governance and Economic Development Research Discussion Papers
76, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008.
[Downloadable!]
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 "G. Parenti".
[Downloadable!]
Claudio Morana, 2007.
"Estimating, Filtering and Forecasting Realized Betas ,"
ICER Working Papers - Applied Mathematics Series
6-2007, ICER - International Centre for Economic Research.
[Downloadable!]
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