Citations for "Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter"
by Jensen, Mark J
- Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Working Papers 02-3, Bank of Canada.
- Mark J. Jensen, 1998.
"An Approximate Wavelet MLE of Short and Long Memory Parameters,"
9802003, EconWPA, revised 21 Jun 1999.
- Jensen Mark J., 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(4), pages 1-17, January.
- 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.
- Dowd, Kevin & Cotter, John & Loh, Lixia, 2011.
"U.S. Core Inflation: A Wavelet Analysis,"
Cambridge University Press, vol. 15(04), pages 513-536, September.
- kevin dowd & john cotter, 2011. "U.S. Core Inflation: A Wavelet Analysis," Papers 1103.5659, arXiv.org.
- Kevin Dowd & John Cotter, 2011. "U.S. Core Inflation: A Wavelet Analysis," Working Papers 200617, Geary Institute, University College Dublin.
- Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany.
- Lihong Wang & Jinde Wang, 2014. "Wavelet estimation of the memory parameter for long range dependent random fields," Statistical Papers, Springer, vol. 55(4), pages 1145-1158, November.
- Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.
- Fernandez, Viviana, 2010. "Commodity futures and market efficiency: A fractional integrated approach," Resources Policy, Elsevier, vol. 35(4), pages 276-282, December.
- 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.
- Jin, Hyun J. & Elder, John & Koo, Won W., 2006.
"A reexamination of fractional integrating dynamics in foreign currency markets,"
International Review of Economics & Finance,
Elsevier, vol. 15(1), pages 120-135.
- Elder, John & Jin, Hyun Joung & Koo, Won W., 2004. "A Reexamination Of Fractional Integrating Dynamics In Foreign Currency Markets," 2004 Annual meeting, August 1-4, Denver, CO 20004, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005.
"Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study,"
Trinity Economics Papers
tep20021, Trinity College Dublin, Department of Economics.
- Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers 2/RT/06, Central Bank of Ireland.
- Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
- Jean-Christophe Statnik & David Verstraete, 2015. "Price dynamics in agricultural commodity markets: a comparison of European and US markets," Empirical Economics, Springer, vol. 48(3), pages 1103-1117, May.
- Morten �rregaard Nielsen & Per Houmann Frederiksen, 2005.
"Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration,"
Taylor & Francis Journals, vol. 24(4), pages 405-443.
- 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.
- Gilles Dufrénot & Valérie Mignon & Théo Naccache, . "The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”," Discussion Papers 09/03, University of Nottingham, CREDIT.
- Elder, John & Serletis, Apostolos, 2008. "Long memory in energy futures prices," Review of Financial Economics, Elsevier, vol. 17(2), pages 146-155.
- Michael KUEHL, .
"Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset,"
- Kühl, Michael, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," Center for European, Governance and Economic Development Research Discussion Papers 76, University of Goettingen, Department of Economics.
- Taylor, Larry W., 2009. "Using the Haar wavelet transform in the semiparametric specification of time series," Economic Modelling, Elsevier, vol. 26(2), pages 392-403, March.
- Muniandy, Sithi V. & Uning, Rosemary, 2006. "Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 585-598.
- In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
- Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.
- Patrick Crowley, 2005.
"An intuitive guide to wavelets for economists,"
- Jensen, Mark J., 2000.
"An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 24(3), pages 361-387, March.
- Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics 9709002, EconWPA.
- Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
- Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers 27/2005, Bank of Finland.
- Collet J.J. & Fadili J.M., 2005. "Simulation of Gegenbauer processes using wavelet packets," School of Economics and Finance Discussion Papers and Working Papers Series 190, School of Economics and Finance, Queensland University of Technology.
- SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, EconWPA, revised 30 Sep 1998.
- Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000 148, Society for Computational Economics.
- Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
- Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
- Yushu Li, 2015. "Estimate Long Memory Causality Relationship by Wavelet Method," Computational Economics, Society for Computational Economics, vol. 45(4), pages 531-544, April.
- repec:got:cegedp:76 is not listed on IDEAS
- Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 568-582, January.
- Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
- 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.