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Citations for "A semiparametric two-step estimator in a multivariate long memory model"

by Lobato, Ignacio N.

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  1. Bent Jesper Christensen & Morten Ø. Nielsen, . "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
  2. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Papers 1061, Queen's University, Department of Economics.
  3. Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
  4. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
  5. Shimotsu, Katsumi, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
  6. Ravishanker, Nalini & Ray, Bonnie K., 2002. "Bayesian prediction for vector ARFIMA processes," International Journal of Forecasting, Elsevier, vol. 18(2), pages 207-214.
  7. Morten Oerregaard Nielsen, . "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, Department of Economics and Business Economics, Aarhus University.
  8. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  9. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  10. Javier Biscarri & Fernando Gracia, 2004. "Stock market cycles and stock market development in Spain," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(2), pages 127-151, 07.
  11. Guglielmo Maria Caporale & Luis Gil‐Alana, 2014. "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, 03.
  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. Nielsen, Morten Oe., . "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, Department of Economics and Business Economics, Aarhus University.
  14. repec:ebl:ecbull:v:3:y:2004:i:47:p:1-8 is not listed on IDEAS
  15. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  16. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 9-12, January.
  17. Brunetti, Celso & Gilbert, Christopher L., 2000. "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 509-530, December.
  18. Peter Robinson, 2007. "Diagnostic testing for cointegration," LSE Research Online Documents on Economics 4465, London School of Economics and Political Science, LSE Library.
  19. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics.
  20. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
  21. 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.
  22. Javier Hualde & Peter M. Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
  23. Robinson, Peter M. & Henry, Marc, 2003. "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, vol. 114(1), pages 1-27, May.
  24. Nielsen, Morten Oe., . "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers 2002-17, Department of Economics and Business Economics, Aarhus University.
  25. 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.
  26. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Real convergence in Taiwan: a fractionally integrated approach," Journal of Asian Economics, Elsevier, vol. 15(3), pages 529-547, June.
  27. Luis Alberiko Gil-Alana, 2002. "Multivariate Tests of Fractionally Integrated Hypotheses," Faculty Working Papers 09/02, School of Economics and Business Administration, University of Navarra.
  28. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2003. "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Faculty Working Papers 01/03, School of Economics and Business Administration, University of Navarra.
  29. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
  30. Giraitis, Liudas & Robinson, Peter M. & Samarov, Alexander, 2000. "Adaptive Semiparametric Estimation of the Memory Parameter," Journal of Multivariate Analysis, Elsevier, vol. 72(2), pages 183-207, February.
  31. repec:esx:essedp:570 is not listed on IDEAS
  32. Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
  33. Tomasz Wojtowicz & Henryk Gurgul, 2009. "Long memory of volatility measures in time series," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 37-54.
  34. Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015. "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, vol. 12(C), pages 77-91.
  35. Henryk Gurgul & Tomasz Wojtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 29-56.
  36. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
  37. 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.
  38. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
  39. Luis Gil-Alana, 2003. "Long memory in the interest rates in some Asian countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(4), pages 257-267, November.
  40. Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, Department of Economics and Business Economics, Aarhus University.
  41. Ruiz, Esther & Pérez, Ana, 1999. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," DES - Working Papers. Statistics and Econometrics. WS 6360, Universidad Carlos III de Madrid. Departamento de Estadística.
  42. Katsumi Shimotsu, 2006. "Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes," Working Papers 1062, Queen's University, Department of Economics.
  43. repec:esx:essedp:571 is not listed on IDEAS
  44. Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, 05.
  45. Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015. "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP) dp-547, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  46. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA.
  47. repec:kap:iaecre:v:9:y:2003:i:4:p:257-267 is not listed on IDEAS
  48. 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.
  49. Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
  50. Peter Robinson, 2007. "Diagnostic Testing For Cointegration," STICERD - Econometrics Paper Series 522, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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