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Citations for "Long memory relationships and the aggregation of dynamic models"

by Granger, C. W. J.

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  1. Mojon, Benoît & Altissimo, Filippo & Zaffaroni, Paolo, 2007. "Fast micro and slow macro: can aggregation explain the persistence of inflation?," Working Paper Series 0729, European Central Bank.
  2. Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
  3. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  4. Fischer, Christian & Gil-Alana, Luis A., 2007. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Discussion Papers 57033, University of Bonn, Institute for Food and Resource Economics.
  5. Sexton, M.B. & Hardiman, S.J. & Möbius, M.E. & Hutzler, S., 2014. "Sheared disk packings as a model system for complex dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 312-319.
  6. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
  7. M. Ege Yazgan & Hakan Yilmazkuday, 2015. "High versus Low Inflation: Implications for Price-Level Convergence," Working Papers 1503, Florida International University, Department of Economics.
  8. Aït-Sahalia, Yacine & Mancini, Loriano, 2008. "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, vol. 147(1), pages 17-33, November.
  9. Gil-Alaña, Luis A., 2000. "A fractionally integrated exponential model for UK unemployment," SFB 373 Discussion Papers 2000,67, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. Juan Carlos Cuestas & Luis A. Gil-Alana, 2013. "A non-linear approach with long range dependence based on Chebyshev polynomials," Working Papers 13-01, Asociación Española de Economía y Finanzas Internacionales.
  11. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
  12. Eric Jondeau & Jean-Guillaume Sahuc, 2004. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche 04-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  13. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
  14. Joseph G. Haubrich & Andrew W. Lo, "undated". "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 05-89, Wharton School Rodney L. White Center for Financial Research.
  15. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics.
  16. Marcellino, Massimiliano, 2000. "Linear aggregation with common trends and cycles," Research in Economics, Elsevier, vol. 54(2), pages 117-131, June.
  17. Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-80, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  18. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2009. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Working Papers 1211, Queen's University, Department of Economics.
  19. Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2010. "Localized Realized Volatility Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1376-1393.
  20. repec:hal:journl:halshs-00185369 is not listed on IDEAS
  21. Luis A. Gil-Alana, 2004. "Testing of I(d) processes in the real output," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-6.
  22. Laura Mayoral & Juan J. Dolado & Jesús Gonzalo, 2003. "Long-range dependence in Spanish political opinion poll series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 137-155.
  23. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
  24. Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," PIER Working Paper Archive 12-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  25. Morten Ørregaard Nielsen & Sergei S. Shibaev, 2016. "Forecasting daily political opinion polls using the fractionally cointegrated VAR model," CREATES Research Papers 2016-30, Department of Economics and Business Economics, Aarhus University.
  26. O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1809-1819.
  27. John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999. "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1393-1400.
  28. Luis Alberiko Gil-Alaña, 2010. "Tourism in South Africa. Time series persistence and the nature of shocks. Are they transitory or permament?," NCID Working Papers 06/2011, Navarra Center for International Development, University of Navarra.
  29. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  30. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics.
  31. Gervais, Jean-Philippe, 2007. "Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain," MPRA Paper 7743, University Library of Munich, Germany, revised 15 Jan 2008.
  32. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt94r403d2, Department of Economics, UC Santa Cruz.
  33. Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., "undated". "Bayesian analysis of long memory and persistence using ARFIMA models," CORE Discussion Papers RP 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  34. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
  35. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  36. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, EconWPA.
  37. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," Discussion Papers of DIW Berlin 1505, DIW Berlin, German Institute for Economic Research.
  38. Cassola, Nuno & Morana, Claudio, 2006. "Comovements in volatility in the euro money market," Working Paper Series 0703, European Central Bank.
  39. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics Working Papers 2000-05, University of Adelaide, School of Economics.
  40. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
  41. Stéphane Auray & Aurélien Eyquem & Fréderic Jouneau-Sion, 2012. "Modelling Tails of Aggregated Economic Processes in a Stochastic Growth Model," Working Papers 2012-29, Centre de Recherche en Economie et Statistique.
  42. Juan Carlos Cuestas, 2012. "A Note on the Current Account Sustainability of European Transition Economies," Working Papers 2012011, The University of Sheffield, Department of Economics.
  43. Lobato, I.N. & Savin, N.E., 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers 96-07, University of Iowa, Department of Economics.
  44. Michelacci, Claudio, 2004. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," CEPR Discussion Papers 4302, C.E.P.R. Discussion Papers.
  45. Aysit Tansel & Zeynel Abidin Ozdemir & Mehmet Balcilar, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," Koç University-TUSIAD Economic Research Forum Working Papers 1130, Koc University-TUSIAD Economic Research Forum.
  46. Clive W. J. Granger, 1988. "Aggregation of time series variables-a survey," Discussion Paper / Institute for Empirical Macroeconomics 1, Federal Reserve Bank of Minneapolis.
  47. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 328-344.
  48. Michael KUEHL, "undated". "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
  49. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc.
  50. Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, AccessEcon, vol. 7(3), pages 1-13.
  51. 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.
  52. Terence Tai-Leung Chong & Guoxin Liu & Isabel Kit-Ming Yan, 2007. "Habit Formation: Deep and Uncertain," Economics Bulletin, AccessEcon, vol. 3(2), pages 1-10.
  53. Pesaran, M. Hashem & Chudik, Alexander, 2011. "Aggregation in large dynamic panels," Globalization and Monetary Policy Institute Working Paper 101, Federal Reserve Bank of Dallas.
  54. Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  55. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
  56. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
  57. Fuhrer, Jeffrey C., 2010. "Inflation Persistence," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 9, pages 423-486 Elsevier.
  58. José M. Belbute & Alfredo Marvão Pereira, 2015. "Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis," Working Papers 163, Department of Economics, College of William and Mary.
  59. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
  60. Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2004. "Aggregate vs Disaggregate Data Analysis — A Paradox in the Estimation of a Money Demand Function of Japan Under the Low Interest Rate Policy," IEPR Working Papers 04.1, Institute of Economic Policy Research (IEPR).
  61. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," CREATES Research Papers 2015-30, Department of Economics and Business Economics, Aarhus University.
  62. Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
  63. Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
  64. Ivan Petrella & Emiliano Santoro, 2011. "Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries," Discussion Papers 11-32, University of Copenhagen. Department of Economics.
  65. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007. "Aggregating Phillips Curves," Swiss Finance Institute Research Paper Series 07-06, Swiss Finance Institute.
  66. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
  67. Ergemen, Yunus Emre & Velasco, Carlos, 2017. "Estimation of fractionally integrated panels with fixed effects and cross-section dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
  68. Luis A. Gil-Alana & Bertrand Candelon, 2004. "Fractional Integration and Business Cycles Features," Faculty Working Papers 09/04, School of Economics and Business Administration, University of Navarra.
  69. Luis A. Gil-Alana, 2009. "Time series modelling of sunspot numbers using long range cyclical dependence," Faculty Working Papers 06/09, School of Economics and Business Administration, University of Navarra.
  70. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," Working Papers 400, Barcelona Graduate School of Economics.
  71. Comte, F. & Renault, E., 1996. "Long memory continuous time models," Journal of Econometrics, Elsevier, vol. 73(1), pages 101-149, July.
  72. repec:lan:wpaper:3209 is not listed on IDEAS
  73. Wang Shin-Huei & Hafner Christian, 2011. "Estimating Autocorrelations in the Presence of Deterministic Trends," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-25, April.
  74. Beck, Guenter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2009. "On the importance of sectoral shocks for price-setting," CFS Working Paper Series 2009/32, Center for Financial Studies (CFS).
  75. repec:wyi:journl:002213 is not listed on IDEAS
  76. Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(2), pages 174-196, Spring.
  77. Juan Carlos Cuestas & Luis A. Gil-Alana, 2009. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe," Working Papers 2009/6, Nottingham Trent University, Nottingham Business School, Economics Division.
  78. Tauchen, George & Zhang, Harold & Liu, Ming, 1996. "Volume, volatility, and leverage: A dynamic analysis," Journal of Econometrics, Elsevier, vol. 74(1), pages 177-208, September.
  79. Stanley, H.E. & Gopikrishnan, P. & Plerou, V. & Amaral, L.A.N., 2000. "Quantifying fluctuations in economic systems by adapting methods of statistical physics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 339-361.
  80. James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, Exeter University, Department of Economics.
  81. Henry, Olan T. & Olekalns, Nilss, 2002. "Does the Australian dollar real exchange rate display mean reversion," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 651-666, October.
  82. Shiu-Sheng Chen & Charles Engel, 2004. "Does "Aggregation Bias" Explain the PPP Puzzle?," NBER Working Papers 10304, National Bureau of Economic Research, Inc.
  83. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  84. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
  85. Curi, Andréa Zaitune & Menezes Filho, N. A., 2006. "A Relação entre o Desempenho Escolar e os Salários no Brasil," Insper Working Papers wpe_51, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  86. Tapas Mishra & Bazoumana Ouattara & Mamata Parhi, 2011. "A Note on Shock Persistence in Total Factor Productivity Growth," Economics Bulletin, AccessEcon, vol. 31(2), pages 1869-1893.
  87. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013. "Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 1-9.
  88. Masoome Fouladi & Hedieh Setayesh & Yazdan Goudarzi-Farahani, 2014. "Factors influencing the formation of corruption in oil-rich countries," 2nd International Conference on Energy, Regional Integration and Socio-Economic Development 7689, EcoMod.
  89. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc.
    • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
  90. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
  91. Fabricio Coricelli & Roman Horváth, 2008. "Price Setting and Market Structure: An Empirical Analysis of Micro Data," Working Papers IES 2008/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2008.
  92. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
  93. 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.
  94. repec:kap:iaecre:v:9:y:2003:i:4:p:257-267 is not listed on IDEAS
  95. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  96. Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra.
  97. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
  98. Bilke, Laurent, 2005. "Break in the mean and persistence of inflation: a sectoral analysis of French CPI," Working Paper Series 0463, European Central Bank.
  99. Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," Dundee Discussion Papers in Economics 284, Economic Studies, University of Dundee.
  100. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, Department of Economics and Business Economics, Aarhus University.
  101. Minford, Patrick & Nowell, Eric & Sofat, Prakriti & Srinivasan, Naveen, 2006. "UK Inflation Persistence: Policy or Nature?," CEPR Discussion Papers 5608, C.E.P.R. Discussion Papers.
  102. Jondeau, Eric & Pelgrin, Florian, 2014. "Estimating aggregate autoregressive processes when only macro data are available," Economics Letters, Elsevier, vol. 124(3), pages 341-347.
  103. Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
  104. Davidson, James & Sibbertsen, Philipp, 2005. "Generating schemes for long memory processes: regimes, aggregation and linearity," Journal of Econometrics, Elsevier, vol. 128(2), pages 253-282, October.
  105. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
  106. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2015. "Joint aggregation of random-coefficient AR(1) processes with common innovations," Statistics & Probability Letters, Elsevier, vol. 101(C), pages 73-82.
  107. Jan Babecký & Fabrizio Coricelli & Roman Horváth, 2009. "Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(2), pages 102-127, June.
  108. Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Long-memory dynamics in a SETAR model - applications to stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December.
  109. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June.
  110. Andersson, Fredrik N. G. & Li, Yushu, 2014. "Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Discussion Papers 2014/38, Department of Business and Management Science, Norwegian School of Economics.
  111. Laura Mayoral, 2003. "Further Evidence on the Uncertain (Fractional) Unit Root in Real GNP," Working Papers 82, Barcelona Graduate School of Economics.
  112. Luis Alberiko Gil-Alaña & Rangan Gupta, 2016. "Trends and Cycles in Historical Gold and Silver Prices," NCID Working Papers 05/2016, Navarra Center for International Development, University of Navarra.
  113. Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 17/2012, Stellenbosch University, Department of Economics.
  114. Jamie Armour, 2006. "An Evaluation of Core Inflation Measures," Staff Working Papers 06-10, Bank of Canada.
  115. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  116. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
  117. Stephan von Cramon-Taubadel & Jens-Peter Loy & Jochen Meyer, 2006. "The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 505-522.
  118. Guglielmo Maria Caporale & Luis Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 375-383.
  119. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 249-264.
  120. Claudio Morana & Giacomo Sbrana, 2017. "Temperature anomalies, radiative forcing and ENSO," Working Paper Series 17-06, The Rimini Centre for Economic Analysis.
  121. John Barkoulas & Christopher Baum & Gurkan Oguz, 1998. "Stochastic long memory in traded goods prices," Applied Economics Letters, Taylor & Francis Journals, vol. 5(3), pages 135-138.
  122. Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics.
  123. Balaguer, Jacint & Ripollés, Jordi, 2013. "Asymmetric fuel price responses under heterogeneity," MPRA Paper 52481, University Library of Munich, Germany.
  124. Cai, Xiaoming & Den Haan, Wouter, 2009. "Predicting recoveries and the importance of using enough information," CEPR Discussion Papers 7508, C.E.P.R. Discussion Papers.
  125. Fabrizio Coricelli & Roman Horváth, 2010. "Price setting and market structure: an empirical analysis of micro data in Slovakia," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 31(2-3), pages 209-233.
  126. 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.
  127. Gil-Alana, L., 1998. "Multivariate Tests of Fractionally Integrated Hypotheses," Economics Working Papers eco98/19, European University Institute.
  128. Cai, Xiaoming & Den Haan, Wouter & Pinder, Jonathan, 2015. "Predictable Recoveries," CEPR Discussion Papers 10815, C.E.P.R. Discussion Papers.
  129. Wing-Keung Wong & Aman Agarwal & Jun Du, 2005. "Financial Integration for India Stock Market, a Fractional Cointegration Approach," Departmental Working Papers wp0501, National University of Singapore, Department of Economics.
  130. Youwei Li & Bas Donkers, 2004. "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004 195, Society for Computational Economics.
  131. Mario Villalpando, 2014. "Bank Credit and Productivity: Evidence from Mexican Firms," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
  132. Fratantoni, Michael & Schuh, Scott, 2003. " Monetary Policy, Housing, and Heterogeneous Regional Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(4), pages 557-589, August.
  133. repec:lan:wpaper:3207 is not listed on IDEAS
  134. Sousa-Vieira, M.E. & Suárez-González, A. & López-García, C. & Fernández-Veiga, M. & López-Ardao, J.C. & Rodríguez-Rubio, R.F., 2010. "Fast simulation of self-similar and correlated processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2040-2061.
  135. Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002. "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers 03/02, School of Economics and Business Administration, University of Navarra.
  136. Ignacio Rodríguez Carreño & L. Gila Useros, A. Malanda Trigueros, J. Navallas Irujo, J. Rodríguez Falces, S. Gómez Elvira, 2008. "Influence of Baseline Fluctuation Cancellation on Automatic Measurement of Motor Unit Action Potential Duration," Faculty Working Papers 13/08, School of Economics and Business Administration, University of Navarra.
  137. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
  138. Zaitsev, Sergey & Zaitsev, Alexander & Leonidov, Andrei & Trainin, Vladimir, 2009. "Market mill dependence pattern in the stock market: Multiscale conditional dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4624-4634.
  139. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
  140. G Caggiano & L Leonida, "undated". "International Output Convergence: Evidence from an AutoCorrelation Function Approach," Working Papers 2006_20, Business School - Economics, University of Glasgow.
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