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Citations for "Long Memory and Aggregation in Macroeconomic Time Series"

by Chambers, Marcus J

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  1. Man, K.S. & Tiao, G.C., 2006. "Aggregation effect and forecasting temporal aggregates of long memory processes," International Journal of Forecasting, Elsevier, vol. 22(2), pages 267-281.
  2. Leschinski, Christian, 2017. "On the memory of products of long range dependent time series," Economics Letters, Elsevier, vol. 153(C), pages 72-76.
  3. Leonardo Rocha Souza, 2005. "A Note On Chambers'S "Long Memory And Aggregation In Macroeconomic Time Series"," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(3), pages 1059-1062, 08.
  4. Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
  5. Leonardo Souza & Jeremy Smith & Reinaldo Souza, 2006. "Convex combinations of long memory estimates from different sampling rates," Computational Statistics, Springer, vol. 21(3), pages 399-413, December.
  6. Carlos P. Barros & Luis A. Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104, 03.
  7. McHale, I.G. & Peel, D.A., 2010. "Habit and long memory in UK lottery sales," Economics Letters, Elsevier, vol. 109(1), pages 7-10, October.
  8. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2016. "Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB," CESifo Working Paper Series 5995, CESifo Group Munich.
  9. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
  10. repec:ebl:ecbull:v:3:y:2004:i:32:p:1-6 is not listed on IDEAS
  11. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
  12. repec:lan:wpaper:3209 is not listed on IDEAS
  13. DiSario, Robert & Saraoglu, Hakan & McCarthy, Joseph & Li, Hsi, 2008. "Long memory in the volatility of an emerging equity market: The case of Turkey," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 305-312, October.
  14. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper Series 17_08, The Rimini Centre for Economic Analysis.
  15. Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
  16. Gianluca, MORETTI & Giulio, NICOLETTI, 2008. "Estimating DGSE models with long memory dynamics," Discussion Papers (ECON - Département des Sciences Economiques) 2008037, Université catholique de Louvain, Département des Sciences Economiques.
  17. Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
  18. Yigit, Taner M., 2010. "Inflation targeting: An indirect approach to assess the direct impact," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1357-1368, November.
  19. repec:lan:wpaper:3305 is not listed on IDEAS
  20. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
  21. Man Kasing, 2010. "Extended Fractional Gaussian Noise and Simple ARFIMA Approximations," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-26, September.
  22. Luis Gil-Alana, 2003. "Stochastic behavior of nominal exchange rates," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(2), pages 159-173, June.
  23. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society.
  24. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  25. Souza, Leonardo da Rocha de, 2003. "The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  26. repec:hal:journl:peer-00815563 is not listed on IDEAS
  27. John Byers & David Peel & Dennis Thomas, 2007. "Habit, aggregation and long memory: evidence from television audience data," Applied Economics, Taylor & Francis Journals, vol. 39(3), pages 321-327.
  28. Mark J. Jensen, 2009. "The Long-Run Fisher Effect: Can It Be Tested?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 221-231, 02.
  29. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  30. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
  31. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
  32. 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.
  33. Afonso Goncalves da Silva & Peter Robinson, 2008. "Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 268-297.
  34. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  35. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  36. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  37. Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
  38. 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.
  39. Souza, Leonardo R. & Smith, Jeremy, 2004. "Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 20(3), pages 487-502.
  40. Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313.
  41. Mehmet Balcilar, 2004. "Persistence in Inflation: Does Aggregation Cause Long Memory?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 40(5), pages 25-56, September.
  42. Chevillon, Guillaume & Mavroeidis, Sophocles, 2017. "Learning can generate long memory," Journal of Econometrics, Elsevier, vol. 198(1), pages 1-9.
  43. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
  44. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2006. "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 142(1), pages 67-91, April.
  45. L. A. Gil-Alana, 2003. "A fractional integration analysis of the population in some OECD countries," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1147-1159.
  46. Niels Haldrup & J. Eduardo Vera-Valdés, 2015. "Long Memory, Fractional Integration, and Cross-Sectional Aggregation," CREATES Research Papers 2015-59, Department of Economics and Business Economics, Aarhus University.
  47. Barros, Carlos P. & Gil-Alana, Luis A. & Wanke, Peter, 2016. "Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks," Energy Economics, Elsevier, vol. 54(C), pages 88-95.
  48. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
  49. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
  50. Leonardo Rocha Souza, 2007. "Temporal Aggregation and Bandwidth selection in estimating long memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 701-722, 09.
  51. Guglielmo Caporale & Luis Gil-Alana, 2003. "Long memory and structural breaks in hyperinflation countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 136-152, June.
  52. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  53. Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 525, European Central Bank.
  54. Bentes, Sónia R., 2014. "Measuring persistence in stock market volatility using the FIGARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 190-197.
  55. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
  56. Luis A. Gil-Alana, 2004. "Testing of I(d) processes in the real output," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-6.
  57. Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 0525, European Central Bank.
  58. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.
  59. Thornton, Michael A., 2014. "The aggregation of dynamic relationships caused by incomplete information," Journal of Econometrics, Elsevier, vol. 178(P2), pages 342-351.
  60. Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
  61. repec:lan:wpaper:3207 is not listed on IDEAS
  62. 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.
  63. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
  64. 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.
  65. 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.
  66. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper Series 25_12, The Rimini Centre for Economic Analysis.
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