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Citations for "Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter"

by Jensen, Mark J

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  1. repec:got:cegedp:76 is not listed on IDEAS
  2. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
  3. Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers, Bank of Finland 27/2005, Bank of Finland.
  4. Taylor, Larry W., 2009. "Using the Haar wavelet transform in the semiparametric specification of time series," Economic Modelling, Elsevier, Elsevier, vol. 26(2), pages 392-403, March.
  5. In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 16(4), pages 411-423, October.
  6. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 08/13, University of Canterbury, Department of Economics and Finance.
  7. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3061-3074, February.
  8. Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics, EconWPA 9709002, EconWPA.
  9. Patrick M. Crowley, 2005. "An intuitive guide to wavelets for economists," GE, Growth, Math methods, EconWPA 0508009, EconWPA.
  10. Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Working Papers, Bank of Canada 02-3, Bank of Canada.
  11. Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999, Society for Computational Economics 1243, Society for Computational Economics.
  12. Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany.
  13. Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, Elsevier, vol. 222(1), pages 104-112.
  14. Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers 2/RT/06, Central Bank of Ireland.
  15. Muniandy, Sithi V. & Uning, Rosemary, 2006. "Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 371(2), pages 585-598.
  16. Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers, Department of Research, Ipag Business School 2014-284, Department of Research, Ipag Business School.
  17. Morten �rregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(4), pages 405-443.
  18. Elder, John & Jin, Hyun Joung & Koo, Won W., 2004. "A Reexamination Of Fractional Integrating Dynamics In Foreign Currency Markets," 2004 Annual meeting, August 1-4, Denver, CO, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 20004, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  19. Gilles Dufrénot & Valérie Mignon & Théo Naccache, . "The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”," Discussion Papers 09/03, University of Nottingham, CREDIT.
  20. Kühl, Michael, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," Center for European, Governance and Economic Development Research Discussion Papers 76, University of Goettingen, Department of Economics.
  21. Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers, Banco de México 2009-09, Banco de México.
  22. DiSario, Robert & Saraoglu, Hakan & McCarthy, Joseph & Li, Hsi, 2008. "Long memory in the volatility of an emerging equity market: The case of Turkey," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(4), pages 305-312, October.
  23. Fernandez, Viviana, 2010. "Commodity futures and market efficiency: A fractional integrated approach," Resources Policy, Elsevier, Elsevier, vol. 35(4), pages 276-282, December.
  24. Elder, John & Serletis, Apostolos, 2008. "Long memory in energy futures prices," Review of Financial Economics, Elsevier, Elsevier, vol. 17(2), pages 146-155.
  25. Collet J.J. & Fadili J.M., 2005. "Simulation of Gegenbauer processes using wavelet packets," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 190, School of Economics and Finance, Queensland University of Technology.
  26. Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(2), pages 568-582, January.
  27. Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000, Society for Computational Economics 148, Society for Computational Economics.
  28. Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers, Lund University, Department of Economics 2012:15, Lund University, Department of Economics.
  29. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 93(C), pages 29-42.
  30. SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics, EconWPA 9809006, EconWPA, revised 30 Sep 1998.