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Citations for "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean"

by Yin-Wong Cheung & Francis X. Diebold

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  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. S. Lardic & V. Mignon, 2003. "The exact minimum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study," THEMA Working Papers 2003-06, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  3. E. Dubois & S. Lardic & V. Mignon, 2003. "The exact maximum likelihood-based test for fractional cointegration: critical values, power and size," THEMA Working Papers 2003-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  4. Valérie Mignon, 1998. "Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières," Économie et Prévision, Programme National Persée, vol. 132(1), pages 193-214.
  5. John Galbraith & Victoria Zinde-Walsh, 2001. "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers 2001s-11, CIRANO.
  6. Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999 1243, Society for Computational Economics.
  7. J. Hidalgo & Y. Yajima, 2003. "Semiparametric estimation of the long-range parameter," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 705-736, December.
  8. Yin-Wong Cheung & Kon S. Lai, 1999. "On Cross-Country Differences in the Persistence of Real Exchange Rates," CESifo Working Paper Series 218, CESifo Group Munich.
  9. Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
  10. Cheung, Yin-Wong & Lai, Kon S., 2008. "Nominal exchange rate flexibility and real exchange rate adjustment: New evidence from dual exchange rates in developing countries," Japan and the World Economy, Elsevier, vol. 20(3), pages 415-434, August.
  11. Dominique Guegan & Abdou Kâ Diongue & Bertrand Vignal, 2004. "A k- factor GIGARCH process : estimation and application to electricity market spot prices," Post-Print halshs-00188533, HAL.
  12. Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim, 2006. "Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 673-702, August.
  13. Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G., 2005. "Long-run neutrality in a fractionally integrated model," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 257-274, June.
  14. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
  15. John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
  16. Chih-Chiang Hsu, 2000. "Long Memory or Structural Change: Testing Method and Empirical Examination," Econometric Society World Congress 2000 Contributed Papers 0867, Econometric Society.
  17. Martin, Vance L. & Wilkins, Nigel P., 1999. "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, vol. 93(1), pages 149-175, November.
  18. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
  19. Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics 9709002, EconWPA.
  20. Mehmet Balcilar, 2004. "Persistence in Inflation: Does Aggregation Cause Long Memory?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(5), pages 25-56, September.
  21. Yin-Wong Cheung & Kon S. Lai, 2005. "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries," CESifo Working Paper Series 1512, CESifo Group Munich.
  22. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
  23. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series 416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  24. Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics.
  25. 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.
  26. K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014. "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 18/14, Monash University, Department of Econometrics and Business Statistics.
  27. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
  28. Christopher F. Baum & John T. Barkoulas & Mustafa Caglayan, 1999. "Persistence in International Inflation Rates," Southern Economic Journal, Southern Economic Association, vol. 65(4), pages 900-913, April.
  29. Perez, Ana & Ruiz, Esther, 2001. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, vol. 70(2), pages 157-164, February.
  30. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
  31. Kavasseri, Rajesh G. & Seetharaman, Krithika, 2009. "Day-ahead wind speed forecasting using f-ARIMA models," Renewable Energy, Elsevier, vol. 34(5), pages 1388-1393.
  32. Zaffaroni, Paolo, 2009. "Whittle estimation of EGARCH and other exponential volatility models," Journal of Econometrics, Elsevier, vol. 151(2), pages 190-200, August.
  33. So, Mike K.P. & Kwok, Susanna W.Y., 2006. "A multivariate long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 450-464.
  34. Davidson, James & Hashimzade, Nigar, 2009. "Type I and type II fractional Brownian motions: A reconsideration," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
  35. Beran, Jan & Ghosh, Sucharita & Schell, Dieter, 2009. "On least squares estimation for long-memory lattice processes," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2178-2194, November.
  36. Zevallos, Mauricio & Palma, Wilfredo, 2013. "Minimum distance estimation of ARFIMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 242-256.
  37. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
  38. Jozef Baruník & Lucie Kraicová, 2014. "Estimation of Long Memory in Volatility Using Wavelets," Working Papers IES 2014/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2014.
  39. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  40. repec:ebl:ecbull:v:3:y:2004:i:21:p:1-16 is not listed on IDEAS
  41. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  42. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
  43. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
  44. Maharaj, E.A., 1999. "A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap," Monash Econometrics and Business Statistics Working Papers 11/99, Monash University, Department of Econometrics and Business Statistics.
  45. Hwang, Soosung, 2000. "The Effects Of Systematic Sampling And Temporal Aggregation On Discrete Time Long Memory Processes And Their Finite Sample Properties," Econometric Theory, Cambridge University Press, vol. 16(03), pages 347-372, June.
  46. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  47. Michael A. Hauser, 1998. "Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study," Econometrics 9809001, EconWPA.
  48. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  49. Ila M. Semenick Alam & Robin C. Sickles, 1997. "Long Run Properties of Technical Efficiency in the U.S. Airline Industry," CIG Working Papers FS IV 97-25, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
  50. Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
  51. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
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