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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!]
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!]
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!]
Paul Castillo & Diego Winkelried, 2007.
"Dollarization Persistence and Individual Heterogeneity ,"
Working Papers
2007-004, Banco Central de Reserva del Perú.
[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!]
William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997.
"Nonlinear and Complex Dynamics in Economics ,"
Econometrics
9709001, EconWPA.
[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)
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!]
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!]
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!]
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!]
L. Gil-Alana, .
"A Generalized Fractional Time Series Model ,"
Sonderforschungsbereich 373
2000-107, Humboldt Universitaet Berlin.
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!]
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!]
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!]
Jurgen Doornik & Marius Ooms, 2004.
"Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 8(2), pages 1218-1218.
[Downloadable!] (restricted)
Leonardo Rocha Souza & Lacir Jorge Soares, 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 GmbH.
[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!]
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!]
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: 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!]
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!]
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!]
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.
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!]
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!]
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: 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!]
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!]
Jonathan Wright, 2002.
"Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns ,"
Econometric Reviews ,
Taylor and Francis Journals, vol. 21(4), pages 397-417.
[Downloadable!] (restricted)
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) Jin-Chuan Duan & Kris Jacobs, 2001.
"Short and Long Memory in Equilibrium Interest Rate Dynamics ,"
CIRANO Working Papers
2001s-22, CIRANO.
[Downloadable!]
Wei Liu & Alex 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), pages 1376-1376.
[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: 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!]
Ooms, Marius, 1995.
"Flexible seasonal long memory and economic time series ,"
Econometric Institute Report
134, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Other versions: 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!]
Lacir Jorge Soares & Leonardo Rocha Souza, 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!]
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!]
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!]
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!]
Other versions: Federico Bandi & Benoit Perron, 2003.
"Long memory and the relation between implied and realized volatility ,"
Econometrics
0305004, EconWPA.
[Downloadable!]
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) 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: 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!]
Niels Haldrup & Morten Nielsen, 2006.
"Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 10(3), pages 1367-1367.
[Downloadable!] (restricted)
Other versions: Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004.
"The Stochastic Unit Root Model And Fractional Integration: An Extension To The Seasonal Case ,"
Economics and Finance Discussion Papers
04-15, Economics and Finance Section, School of Social Sciences, Brunel University.
[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) 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!] Nuno Cassola & Claudio Morana, 2006.
"Comovements in volatility in the euro money market ,"
Working Paper Series
703, European Central Bank.
[Downloadable!]
Aaron Smallwood, 2005.
"Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 9(2), pages 1227-1227.
[Downloadable!] (restricted)
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: 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!]
Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997.
"A Multifractal Model of Asset Returns ,"
Cowles Foundation Discussion Papers
1164, Cowles Foundation, Yale University.
[Downloadable!]
John Maheu, 2005.
"Can GARCH Models Capture Long-Range Dependence? ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 9(4), pages 1269-1269.
[Downloadable!] (restricted)
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!]
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: 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: 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)
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!]
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!]
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!]
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: 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: Anthony Murphy & Marwan Izzeldin, 2006.
"Bootstrapping long memory tests: some Monte Carlo results ,"
Working Papers
003091, Lancaster University Management School, Economics Department.
[Downloadable!]
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!]
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!]
Massimiliano Marcellino & Oscar Jorda, .
"Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data ,"
Working Papers
164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi 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!]
Melvin Hinich & Terence Chong, 2007.
"A Class Test for Fractional Integration ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 11(2), pages 1382-1382.
[Downloadable!] (restricted)
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!]
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