Computationally efficient methods for two multivariate fractionally integrated models
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Citations
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Cited by:
- Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018.
"A multivariate test against spurious long memory,"
Journal of Econometrics,
Elsevier, vol. 203(1), pages 33-49.
- Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015. "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP) dp-547, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Kristoufek, Ladislav, 2013.
"Mixed-correlated ARFIMA processes for power-law cross-correlations,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 392(24), pages 6484-6493.
- Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
- Gbaguidi, David Sedo, 2011. "Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off," MPRA Paper 35482, University Library of Munich, Germany.
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2016. "Stock and currency market linkages: New evidence from realized spillovers in higher moments," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 167-185.
- Bensalma, Ahmed, 2018. "Two Distinct Seasonally Fractionally Differenced Periodic Processes," MPRA Paper 84969, University Library of Munich, Germany.
- Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
- Kristoufek, Ladislav, 2015.
"On the interplay between short and long term memory in the power-law cross-correlations setting,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 421(C), pages 218-222.
- Ladislav Kristoufek, 2014. "On the interplay between short and long term memory in the power-law cross-correlations setting," Papers 1409.6444, arXiv.org, revised Dec 2014.
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