1. Michael A. Hauser, 1998. "Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study," Econometrics 9809001, EconWPA. [Downloadable!]
2. Maharaj, E.A., 1999. "A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap," Monash Econometrics and Business Statistics Working Papers 11/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
3. Ila M. Semenick Alam & Robin C. Sickles, 1997. "Long Run Properties of Technical Efficiency in the U.S. Airline Industry," CIG Working Papers FS IV 97-25, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG). [Downloadable!]
4. Josu Artech & Peter M Robinson, 1998. "Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)," STICERD - Econometrics Paper Series /1998/360, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
5. Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, EconWPA, revised 11 Jul 1995. [Downloadable!]
   Other versions:
   • KOOPÊ, Gary & LEYÊ , Eduardo & OSIEWALSKIÊ, Jacek & STEELÊ, MarkÊ, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," CORE Discussion Papers 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics. [Downloadable!]
   • Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169. [Downloadable!] (restricted)
6. 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!]
7. Cheung, Yin-Wong & Lai, Kon S., 1999. "On Cross-Country Differences in the Persistence of Real Exchange Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
   Other versions:
   • Cheung, Yin-Wong & Lai, Kon S., 2000. "On cross-country differences in the persistence of real exchange rates," Journal of International Economics, Elsevier, vol. 50(2), pages 375-397, April. [Downloadable!] (restricted)
8. Yin-wong Cheung & Kon S. Lai, 2007. "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual Exchange Rates in Developing Countries," Working Papers 092007, Hong Kong Institute for Monetary Research. [Downloadable!]
   Other versions:
   • Cheung, Yin-Wong & Lai, Kon S., 2008. "Nominal exchange rate flexibility and real exchange rate adjustment: New evidence from dual exchange rates in developing countries," Japan and the World Economy, Elsevier, vol. 20(3), pages 415-434, August. [Downloadable!] (restricted)
9. C. M. Schmidt & R. Tschernig, . "The Identification of Fractional ARIMA Models," Sonderforschungsbereich 373 1995-8, Humboldt Universitaet Berlin.
10. Christopher F. Baum & John Barkoulas & Mustafa Caglayan, 1996. "Persistence in International Inflation Rates," Boston College Working Papers in Economics 333., Boston College Department of Economics. [Downloadable!]
    Other versions:
    • Christopher F. Baum & John T. Barkoulas & Mustafa Caglayan, 1999. "Persistence in International Inflation Rates," Southern Economic Journal, Southern Economic Association, vol. 65(4), pages 900-913, April.
11. Dominique Guegan & Abdou Kâ Diongue & Bertrand Vignal, 2004. "A k- factor GIGARCH process : estimation and application to electricity market spot prices," Post-Print halshs-00188533_v1, HAL. [Downloadable!]
12. Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO. [Downloadable!]
    Other versions:
    • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    • Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
13. Chih-Chiang Hsu, 2000. "Long Memory or Structural Change: Testing Method and Empirical Examination," Econometric Society World Congress 2000 Contributed Papers 0867, Econometric Society. [Downloadable!]
14. Jesús Gonzalo, Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor and Francis Journals, vol. 27(7), pages 821-827, September. [Downloadable!] (restricted)
    Other versions:
    • Lee, T.H. & Gonzalo, J., 1995. "On the Robustness of Cointegration Tests when Series Are Fractionally Integrated," The A. Gary Anderson Graduate School of Management 95-11, The A. Gary Anderson Graduate School of Management. University of California Riverside.
15. R. Tschernig, . "Long Memory in Foreign Exchange Rates Revisited," Sonderforschungsbereich 373 1994-46, Humboldt Universitaet Berlin.
16. Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics. [Downloadable!]
17. Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics 9709002, EconWPA. [Downloadable!]
    Other versions:
    • Jensen, Mark J., 2000. "An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 361-387, March. [Downloadable!] (restricted)
18. 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, 2003. "The exact minimum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study," THEMA Working Papers 2003-06, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
19. 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:
    • Emmanuel Dubois & Sandrine Lardic & Valérie Mignon, 2004. "The Exact Maximum Likelihood-Based Test for Fractional Cointegration: Critical Values, Power and Size," Computational Economics, Springer, vol. 24(3), pages 239-255, July. [Downloadable!] (restricted)
20. 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:
    • Kenneth Hightower & Taner M. Yigit, 2004. "Effect of Moments on Aggregation and Long Memory in Inflation," Econometric Society 2004 Australasian Meetings 72, Econometric Society.
21. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series /2001/416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
22. Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999 1243, Society for Computational Economics. [Downloadable!]
    Other versions:
    • Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999. [Downloadable!]
23. John Galbraith & Victoria Zinde-Walsh, 2001. "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers 2001s-11, CIRANO. [Downloadable!]
24. 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:
    • Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578. [Downloadable!] (restricted)
25. Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston. [Downloadable!]
26. J. Hidalgo & Y. Yajima, 2003. "Semiparametric estimation of the long-range parameter," Annals of the Institute of Statistical Mathematics, Springer, vol. 55(4), pages 705-736, December. [Downloadable!] (restricted)
27. Yin-Wong Cheung & Kon S. Lai, 2005. "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
28. 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!]
29. Josu Arteche, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 200202, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
    Other versions:
    • Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March. [Downloadable!] (restricted)
30. Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics. [Downloadable!]

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