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Pooled Log Periodogram Regression

Citations

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Cited by:

  1. Morten Ørregaard 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.
  2. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
  3. Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019. "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 105-120.
  4. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  5. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
  6. José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.
  7. Orregaard Nielsen, Morten & Frederiksen, Per, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Queen's Economics Department Working Papers 273666, Queen's University - Department of Economics.
  8. Tomasz Wójtowicz & Henryk Gurgul, 2009. "Long memory of volatility measures in time series," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 19(1), pages 37-54.
  9. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
  10. Filippo di Pietro & Antonio A. Golpe & Jose Carlos Vides, 2026. "When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(3), pages 529-544, March.
  11. Feng, Yuanhua & Beran, Jan, 2008. "Filtered Log-periodogram Regression of long memory processes," CoFE Discussion Papers 08/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
  12. Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna, 2013. "Long memory in the ukrainian stock market and financial crises," MPRA Paper 59061, University Library of Munich, Germany.
  13. Dooruj Rambaccussing & Murat Mazibas, 2020. "True versus Spurious Long Memory in Cryptocurrencies," JRFM, MDPI, vol. 13(9), pages 1-11, August.
  14. Henryk GURGUL & Tomasz WÓJTOWICZ, 2006. "Long Memory on the German Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 447-468, September.
  15. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
  16. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
  17. Phillips, Peter C.B., 2007. "Unit root log periodogram regression," Journal of Econometrics, Elsevier, vol. 138(1), pages 104-124, May.
  18. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012. "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
  19. Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 115(2), pages 355-389, August.
  20. Simeon Coleman & Vitor Leone, 2015. "An investigation of regime shifts in UK commercial property returns: a time series analysis," Applied Economics, Taylor & Francis Journals, vol. 47(60), pages 6479-6492, December.
  21. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
  22. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
  23. Henryk Gurgul & Tomasz Wójtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 16(3-4), pages 29-56.
  24. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  25. Faÿ, Gilles, 2010. "Moment bounds for non-linear functionals of the periodogram," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 983-1009, June.
  26. Héctor F. Salazar-Núñez & Francisco Venegas-Martínez & Cuahutémoc Calderón-Villareal, 2017. "¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?)," Ensayos Revista de Economía, Universidad Autónoma de Nuevo León, vol. 36(1), pages 1-24, April.
  27. repec:ere:journl:v:xxxvi:y:2017:i:1:p:1-24 is not listed on IDEAS
  28. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
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