Citations for "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter"
by Mark J. Jensen
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- Mark J. Jensen, 1998.
"An Approximate Wavelet MLE of Short and Long Memory Parameters,"
9802003, EconWPA, revised 21 Jun 1999.
- 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.
- 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.
- 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.
- Carla Ysusi, 2009.
"Analysis of the Dynamics of Mexican Inflation Using Wavelets,"
2009-09, Banco de México.
- Christoph Schleicher, 2002.
"An Introduction to Wavelets for Economists,"
02-3, Bank of Canada.
- 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.
- 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, vol. 371(2), pages 585-598.
- 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.
- Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012.
"De-noising option prices with the wavelet method,"
European Journal of Operational Research,
Elsevier, vol. 222(1), pages 104-112.
- Elder, John & Serletis, Apostolos, 2008.
"Long memory in energy futures prices,"
Review of Financial Economics,
Elsevier, vol. 17(2), pages 146-155.
- Gilles Dufrénot & Valérie Mignon & Théo Naccache, .
"The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”,"
09/03, University of Nottingham, CREDIT.
- 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.
- Morten Ørregaard Nielsen & Per Frederiksen, 2005.
"Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration,"
1189, Queen's University, Department of Economics.
- 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).
- 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.
- Gallegati, Marco, 2008.
"Wavelet analysis of stock returns and aggregate economic activity,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(6), pages 3061-3074, February.
- Kevin Dowd & John Cotter, 2011.
"U.S. Core Inflation: A Wavelet Analysis,"
200617, Geary Institute, University College Dublin.
- Brandon Whitcher, 2000.
"Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models,"
Computing in Economics and Finance 2000
148, Society for Computational Economics.
- Vuorenmaa , Tommi, 2005.
"A wavelet analysis of scaling laws and long-memory in stock market volatility,"
Research Discussion Papers
27/2005, Bank of Finland.
- 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.
- 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.
- Li, Yushu, 2012.
"Estimating Long Memory Causality Relationships by a Wavelet Method,"
2012:15, Lund University, Department of Economics.
- Taylor, Larry W., 2009.
"Using the Haar wavelet transform in the semiparametric specification of time series,"
Elsevier, vol. 26(2), pages 392-403, March.
- SangKun Bae & Mark J. Jensen, 1998.
"Long-Run Neutrality in a Long-Memory Model,"
9809006, EconWPA, revised 30 Sep 1998.
- Patrick M. Crowley, 2005.
"An intuitive guide to wavelets for economists,"
GE, Growth, Math methods
- Fernandez, Viviana, 2010.
"Commodity futures and market efficiency: A fractional integrated approach,"
Elsevier, vol. 35(4), pages 276-282, December.