Advanced Search
MyIDEAS: Login

Citations for "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter"

by Mark J. Jensen

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. 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.
  2. Elder, John & Serletis, Apostolos, 2008. "Long memory in energy futures prices," Review of Financial Economics, Elsevier, vol. 17(2), pages 146-155.
  3. Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
  4. 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, vol. 16(4), pages 411-423, October.
  5. 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.
  6. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
  7. 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, vol. 18(4), pages 305-312, October.
  8. Patrick M. Crowley, 2005. "An intuitive guide to wavelets for economists," GE, Growth, Math methods 0508009, EconWPA.
  9. 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 20004, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  10. Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers 27/2005, Bank of Finland.
  11. SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, EconWPA, revised 30 Sep 1998.
  12. Taylor, Larry W., 2009. "Using the Haar wavelet transform in the semiparametric specification of time series," Economic Modelling, Elsevier, vol. 26(2), pages 392-403, March.
  13. Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany.
  14. Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 568-582, January.
  15. 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.
  16. Fernandez, Viviana, 2010. "Commodity futures and market efficiency: A fractional integrated approach," Resources Policy, Elsevier, vol. 35(4), pages 276-282, December.
  17. 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.
  18. 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.
  19. Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Working Papers 02-3, Bank of Canada.
  20. 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 190, School of Economics and Finance, Queensland University of Technology.
  21. Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.
  22. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
  23. Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000 148, Society for Computational Economics.
  24. Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999.
  25. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.