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Citations for "Gaussian Semi-parametric Estimation of Fractional Cointegration"

by Carlos Velasco

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  1. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus.
  2. Morten �rregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
  3. Phillips, Peter C.B., 2007. "Unit root log periodogram regression," Journal of Econometrics, Elsevier, vol. 138(1), pages 104-124, May.
  4. repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS
  5. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," AMSE Working Papers 1353, Aix-Marseille School of Economics, Marseille, France, revised 29 Oct 2013.
  6. Thanasis Stengos & M. Ege Yazgan, 2011. "Persistence in Convergence," Working Papers 1105, University of Guelph, Department of Economics and Finance.
  7. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  8. Morten Oerregaard Nielsen, . "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, School of Economics and Management, University of Aarhus.
  9. Antonio N. Bojanic, 2009. "The impact of tin on the economic growth of Bolivia," COYUNTURA ECONÓMICA, FEDESARROLLO.
  10. Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006. "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July.
  11. Luis Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 119-124.
  12. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
  13. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo Group Munich.
  14. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
  15. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Working Papers halshs-00536140, HAL.
  16. Peter M. Robinson, 2007. "Multiple local whittle estimation in stationary systems," LSE Research Online Documents on Economics 4436, London School of Economics and Political Science, LSE Library.
  17. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
  18. Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
  19. Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series 525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  20. repec:cep:stiecm:/1998/360 is not listed on IDEAS
  21. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
  22. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, School of Economics and Management, University of Aarhus.
  23. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation for Research in Economics, Yale University, revised Sep 2003.
  24. Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 167(2), pages 426-447.
  25. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA.
  26. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
  27. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus.
  28. Shimotsu, Katsumi, 2012. "Exact local Whittle estimation of fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 169(2), pages 266-278.
  29. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  30. Nielsen, Morten Oe., . "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers 2002-17, School of Economics and Management, University of Aarhus.
  31. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
  32. repec:cep:stiecm:/2004/476 is not listed on IDEAS
  33. Shimotsu, Katsumi, 2010. "Exact Local Whittle Estimation Of Fractional Integration With Unknown Mean And Time Trend," Econometric Theory, Cambridge University Press, vol. 26(02), pages 501-540, April.
  34. Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
  35. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
  36. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series 1950, CESifo Group Munich.
  37. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation for Research in Economics, Yale University.
  38. Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, School of Economics and Management, University of Aarhus.
  39. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, 07.
  40. repec:cep:stiecm:/2007/525 is not listed on IDEAS
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