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Estimation of the fractionally differencing parameter with the R/S method

  • Hauser, Michael A.
  • Reschenhofer, Erhard
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-3YCDWC1-K/2/33c207d3743bbdf5d0df104b90338e72
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 20 (1995)
    Issue (Month): 5 (November)
    Pages: 569-579

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    Handle: RePEc:eee:csdana:v:20:y:1995:i:5:p:569-579
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Cheung, Yin-Wong & Lai, Kon S., 1992. "International evidence on output persistence from postwar data," Economics Letters, Elsevier, vol. 38(4), pages 435-441, April.
    2. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
    3. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
    4. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
    5. Kaen, Fred R & Rosenman, Robert E, 1986. "Predictable Behavior in Financial Markets: Some Evidence in Support ofHeiner's Hypothesis," American Economic Review, American Economic Association, vol. 76(1), pages 212-20, March.
    6. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
    7. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
    8. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
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