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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.):
  1. Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany. [Downloadable!]
  2. Taner Yigit, 2007. "Inflation Targeting : An Indirect Approach to Assess the Direct Impact," Departmental Working Papers 0706, Bilkent University, Department of Economics. [Downloadable!]
  3. 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!]
  4. 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!]
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  5. Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany. [Downloadable!]
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  6. 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!]
  7. 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!]
  8. 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!]
  9. Ferrara, L. & Guégan, D., 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Documents de Travail 224, Banque de France. [Downloadable!]
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  10. 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!]
  11. 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!]
  12. 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!]
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  13. Paul Castillo & Diego Winkelried, 2007. "Dollarization Persistence and Individual Heterogeneity," Working Papers 2007-004, Banco Central de Reserva del Perú. [Downloadable!]
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  14. 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!]
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  15. 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!]
  16. 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!]
  17. 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!]
  18. 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!]
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  19. William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, EconWPA. [Downloadable!]
  20. Claudio Morana, 2007. "On the macroeconomic causes of exchange rates volatility," ICER Working Papers 8-2007, ICER - International Centre for Economic Research. [Downloadable!]
  21. 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!]
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  22. 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)
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  23. 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)
  24. 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!]
  25. 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!]
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  26. Quoreshi, Shahiduzzaman, 2006. "LongMemory, Count Data, Time Series Modelling for Financial Application," UmeÃ¥ Economic Studies 673, Umeå University, Department of Economics. [Downloadable!]
  27. Verspagen,Bart, 1999. "Intellectual Property Rights in the World Economy," Research Memoranda 016, Maastricht : MERIT, Maastricht Economic Research Institute on Innovation and Technology. [Downloadable!]
  28. 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!]
  29. 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!]
  30. 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!]
  31. 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!]
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  32. L. Gil-Alana, . "A Generalized Fractional Time Series Model," Sonderforschungsbereich 373 2000-107, Humboldt Universitaet Berlin.
  33. 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!]
  34. 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!]
  35. 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!]
  36. 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!]
  37. 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!]
  38. 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!]
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  39. 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!]
  40. 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!]
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  41. 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!]
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  42. Jun Nagayasu, 2003. "The Efficiency of the Japanese Equity Market," IMF Working Papers 03/142, International Monetary Fund. [Downloadable!]
  43. 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!]
  44. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, EconWPA. [Downloadable!]
  45. 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!]
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  46. 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!]
  47. 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!]
  48. 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!]
  49. 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!]
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  50. 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!]
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  51. 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!]
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  52. 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!]
  53. 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!]
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  54. 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!]
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  55. Taner Yigit, 2002. "Effects of Moments on Aggregation and Long Memory in Inflation," Departmental Working Papers 0210, Bilkent University, Department of Economics. [Downloadable!]
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  56. 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!]
  57. 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!]
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  58. 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!]
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  59. 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!]
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  60. Quoreshi, Shahiduzzaman, 2006. "Time Series Modelling Of High Frequency Stock Transaction Data," UmeÃ¥ Economic Studies 675, Umeå University, Department of Economics. [Downloadable!]
  61. 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!]
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  62. 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!]
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  63. Claudio Morana, 2000. "Measuring core inflation in the Euro area," Working Paper Series 36, European Central Bank. [Downloadable!]
  64. 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!]
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  65. 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!]
  66. 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!]
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  67. 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!]
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  68. 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!]
  69. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
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  70. 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!]
  71. 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!]
  72. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO. [Downloadable!]
  73. William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, EconWPA. [Downloadable!]
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  74. 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!]
  75. 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!]
  76. 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!]
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  77. Ooms, Marius, 1995. "Flexible seasonal long memory and economic time series," Econometric Institute Report 134, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  78. 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!]
  79. 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!]
  80. 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!]
  81. 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!]
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  82. 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!]
  83. 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!]
  84. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234. [Downloadable!] (restricted)
  85. 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!]
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  86. 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!]
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  87. Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, EconWPA. [Downloadable!]
  88. 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!]
  89. 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!]
  90. 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!]
  91. 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!]
  92. Youwei Li & Bas Donkers, 2004. "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004 195, Society for Computational Economics. [Downloadable!]
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  93. 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!]
  94. Federico Bandi & Benoit Perron, 2003. "Long memory and the relation between implied and realized volatility," Econometrics 0305004, EconWPA. [Downloadable!]
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  95. Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, EconWPA. [Downloadable!]
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  96. 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!]
  97. 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!]
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  98. 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!]
  99. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15. [Downloadable!]
  100. 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!]
  101. 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!]
  102. J. Breitung & U. Hassler, . "Inference on the Cointegration Rank in Fractionally Integrated Processes," Sonderforschungsbereich 373 2000-65, Humboldt Universitaet Berlin.
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  103. 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!]
  104. 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)
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  105. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research. [Downloadable!]
  106. Nuno Cassola & Claudio Morana, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank. [Downloadable!]
  107. 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!]
  108. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  109. 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!]
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  110. Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
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  111. 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!]
  112. 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!]
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  113. 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!]
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  114. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation, Yale University. [Downloadable!]
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  115. 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!]
  116. Nigel Wilkins, 2004. "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society. [Downloadable!]
  117. Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics 9709002, EconWPA. [Downloadable!]
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  118. 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!]
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  119. 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!]
  120. 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!]
  121. 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!]
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  122. Michele Pasquini & Maurizio Serva, 1999. "Indeterminacy in foreign exchange market," Quantitative Finance Papers cond-mat/9906343, arXiv.org. [Downloadable!]
  123. 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!]
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  124. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics. [Downloadable!]
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  125. 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!]
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  126. 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)
  127. 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!]
  128. 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!]
  129. Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, Economics Bulletin, vol. 7(3), pages 1-13. [Downloadable!]
  130. 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!]
  131. 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!]
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  132. 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!]
  133. 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!]
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  134. 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!]
  135. Nicholas Cox, 2001. "Extensions to generate, extended: corrections," Stata Technical Bulletin, StataCorp LP, vol. 10(57). [Downloadable!]
  136. 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!]
  137. 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!]
  138. 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!]
  139. 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!]
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  140. 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!]
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  141. 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!]
  142. Anthony Murphy & Marwan Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 003091, Lancaster University Management School, Economics Department. [Downloadable!]
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  143. 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!]
  144. 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!]
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  145. Karim Abadir & Gabriel Talmain, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 525, European Central Bank. [Downloadable!]
  146. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation, Yale University. [Downloadable!]
  147. 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)
  148. 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!]
  149. 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!]
  150. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  151. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," cege – 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!]
  152. 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!]
  153. 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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