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Exact Local Whittle Estimation Of Fractional Integration With Unknown Mean And Time Trend

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Cited by:

  1. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
  2. Okimoto, Tatsuyoshi & Shimotsu, Katsumi, 2010. "Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 395-411, September.
  3. Marco R. Barassi & Gianluigi De Pascale & Raffaele Lagravinese, 2021. "Testing the law of one-price in the US gasoline market: a long memory approach," SERIES 03-2021, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Jun 2021.
  4. Nuruddeen Usman & Kodili Nwanneka & Nduka, 2023. "Announcement Effect of COVID-19 on Cryptocurrencies," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 3(3), pages 1-4.
  5. Luis A. Gil-Alana & Sakiru Adebola Solarin & Mehmet Balcilar & Rangan Gupta, 2023. "Productivity and GDP: international evidence of persistence and trends over 130 years of data," Empirical Economics, Springer, vol. 64(3), pages 1219-1246, March.
  6. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
  8. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  9. Quineche Ricardo, 2021. "Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 21-42, January.
  10. de Truchis, Gilles & Keddad, Benjamin, 2016. "On the risk comovements between the crude oil market and U.S. dollar exchange rates," Economic Modelling, Elsevier, vol. 52(PA), pages 206-215.
  11. M. A. Limam & V. Terraza & M. Terraza, 2017. "Hedge Fund Return Dynamics: Long Memory and Regime Switching," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 148-166, October.
  12. Marcel Aloy & Gilles Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
  13. de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
  14. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
  15. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.
  16. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "A comparison of semiparametric tests for fractional cointegration," Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
  17. Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  18. Stengos Thanasis & Yazgan M. Ege, 2014. "Persistence in real exchange rate convergence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 73-88, February.
  19. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
  20. 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.
  21. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  22. Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011. "Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?," Economic Modelling, Elsevier, vol. 28(3), pages 1279-1290, May.
  23. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
  24. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
  25. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
  26. Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008. "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
  27. Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
  28. Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  29. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
  30. Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
  31. repec:hal:journl:peer-00815563 is not listed on IDEAS
  32. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
  33. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
  34. Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
  35. Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
  36. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  37. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
  38. Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  39. de Truchis, Gilles & Keddad, Benjamin, 2013. "Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 394-412.
  40. Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
  41. Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.
  42. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, vol. 5(1), pages 1-26, January.
  43. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne P駵in-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
  44. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
  45. repec:ipg:wpaper:2014-442 is not listed on IDEAS
  46. Baillie Richard T. & Kapetanios George, 2016. "On the estimation of short memory components in long memory time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 365-375, September.
  47. Gil-Alana, Luis A. & Monge, Manuel, 2019. "Lithium: Production and estimated consumption. Evidence of persistence," Resources Policy, Elsevier, vol. 60(C), pages 198-202.
  48. Bond, Derek & Dyson, Kenneth, 2006. "Long memory and non-linearity in Stock Markets," MPRA Paper 252, University Library of Munich, Germany.
  49. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
  50. Zhong, Meirui & Zhang, Rui & Ren, Xiaohang, 2023. "The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach," Energy Economics, Elsevier, vol. 123(C).
  51. Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
  52. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
  53. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
  54. repec:ipg:wpaper:2014-503 is not listed on IDEAS
  55. J. Eduardo Vera-Valdés, 2021. "Temperature Anomalies, Long Memory, and Aggregation," Econometrics, MDPI, vol. 9(1), pages 1-22, March.
  56. Kerry Patterson & Michael A. Thornton, 2013. "A review of econometric concepts and methods for empirical macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 2, pages 4-42, Edward Elgar Publishing.
  57. Yoon, Gawon, 2009. "Is high real interest rate persistence an intrinsic characteristic of industrialized economies?," Economic Modelling, Elsevier, vol. 26(2), pages 359-363, March.
  58. Chevillon, Guillaume & Mavroeidis, Sophocles, 2017. "Learning can generate long memory," Journal of Econometrics, Elsevier, vol. 198(1), pages 1-9.
  59. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers 2015-79, Scottish Institute for Research in Economics (SIRE).
  60. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  61. Yaya, OlaOluwa S. & Lukman, Adewale F. & Vo, Xuan Vinh, 2022. "Persistence and volatility spillovers of bitcoin price to gold and silver prices," Resources Policy, Elsevier, vol. 79(C).
  62. Thanasis Stengos & Ege Yazgan & Harun Ozkan, 2016. "Persistence in Convergence: Some further results," Working Papers 1605, University of Guelph, Department of Economics and Finance.
  63. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
  64. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
  65. Sapio, Alessandro & Spagnolo, Nicola, 2020. "The effect of a new power cable on energy prices volatility spillovers," Energy Policy, Elsevier, vol. 144(C).
  66. Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," CREATES Research Papers 2013-35, Department of Economics and Business Economics, Aarhus University.
  67. Prados de la Escosura, Leandro & Rodríguez-Caballero, C. Vladimir, 2022. "War, pandemics, and modern economic growth in Europe," Explorations in Economic History, Elsevier, vol. 86(C).
  68. Thanasis Stengos & M. Ege Yazgan & Harun Özkan, 2018. "Persistence In Convergence And Club Formation," Bulletin of Economic Research, Wiley Blackwell, vol. 70(2), pages 119-138, April.
  69. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
  70. Ahmed, Mumtaz & Khan, Atif Maqbool & Bibi, Salma & Zakaria, Muhammad, 2017. "Convergence of per capita CO2 emissions across the globe: Insights via wavelet analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 75(C), pages 86-97.
  71. Halser, Christoph & Paraschiv, Florentina & Russo, Marianna, 2023. "Oil–gas price relationships on three continents: Disruptions and equilibria," Journal of Commodity Markets, Elsevier, vol. 31(C).
  72. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
  73. Heni Boubaker & Anne Péguin-Feissolle, 2013. "Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 291-306, October.
  74. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
  75. Luis Alberiko Gil-Alana & Francisco Puertolas-Montanes, 2023. "Profitability of private equity: mean reversion and transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 458-471, June.
  76. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
  77. Grassi, Stefano & Santucci de Magistris, Paolo, 2014. "When long memory meets the Kalman filter: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
  78. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
  79. Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
  80. Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George, 2012. "Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures," International Journal of Forecasting, Elsevier, vol. 28(1), pages 46-53.
  81. Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  82. Prados de la Escosura, Leandro & Rodriguez-Caballero, Carlos Vladimir, 2020. "Growth, War, and Pandemics: Europe in the Very Long-run," CEPR Discussion Papers 14816, C.E.P.R. Discussion Papers.
  83. Mustanen, Dmitri & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata, 2022. "The power of investors’ optimism and pessimism in oil market forecasting," Energy Economics, Elsevier, vol. 114(C).
  84. Gawon Yoon, 2010. "Long memory in return volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 345-349.
  85. Christoph Wegener & Tobias Basse & Philipp Sibbertsen & Duc Khuong Nguyen, 2019. "Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany," Annals of Operations Research, Springer, vol. 282(1), pages 407-426, November.
  86. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
  87. Shimotsu, Katsumi, 2012. "Exact local Whittle estimation of fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 169(2), pages 266-278.
  88. Krüger, Niclas A, 2008. "Climate Variability and Health: Sweden 1751-2004," Working Papers 2008:4, Örebro University, School of Business.
  89. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  90. 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.
  91. M. Ege Yazgan & Hakan Yilmazkuday, 2016. "High versus low inflation: implications for price-level convergence," Empirical Economics, Springer, vol. 50(4), pages 1527-1563, June.
  92. Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
  93. Renzo Pardo Figueroa & Gabriel Rodríguez, 2014. "Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America," Documentos de Trabajo / Working Papers 2014-395, Departamento de Economía - Pontificia Universidad Católica del Perú.
  94. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Department of Economics.
  95. Charfeddine, Lanouar & Khediri, Karim Ben, 2016. "Time varying market efficiency of the GCC stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 487-504.
  96. Jiawen Xu & Pierre Perron, 2013. "Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations," Boston University - Department of Economics - Working Papers Series 2013-006, Boston University - Department of Economics.
  97. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers halshs-00879522, HAL.
  98. Jean-Philippe Gervais, 2011. "Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1497-1510.
  99. Huang, Zhuo & Liu, Hao & Wang, Tianyi, 2016. "Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model," Economic Modelling, Elsevier, vol. 52(PB), pages 812-821.
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  101. Theoplasti Kolaiti & Mwasi Mboya & Philipp Sibbertsen, 2020. "Volatility Transmission across Financial Markets: A Semiparametric Analysis," JRFM, MDPI, vol. 13(8), pages 1-13, July.
  102. Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013. "Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation," University of Regensburg Working Papers in Business, Economics and Management Information Systems 471, University of Regensburg, Department of Economics.
  103. Gawon Yoon, 2009. "Purchasing power parity and long memory," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 55-61.
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  107. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper 58554, University Library of Munich, Germany.
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  109. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
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  121. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
  122. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
  123. Ren, Xiaohang & Li, Yiying & Qi, Yinshu & Duan, Kun, 2022. "Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics," Energy, Elsevier, vol. 254(PB).
  124. Hartl, Tobias, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242380, Verein für Socialpolitik / German Economic Association.
  125. Andersson, Fredrik N.G. & Li, Yushu, 2013. "How Flexible are the Inflation Targets? A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Working Papers 2013:38, Lund University, Department of Economics.
  126. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
  127. Chevillon, Guillaume & Mavroeidis, Sophocles, 2018. "Perpetual learning and apparent long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 343-365.
  128. Ding, Liang & Luo, Yi & Lin, Yan & Huang, Yirong, 2021. "Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
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