Citations for "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter"
by Mark J. Jensen
- Tkacz Greg, 2001.
"Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 5(1), pages 1-15, April.
- Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Staff Working Papers 00-5, Bank of Canada.
- 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.
- 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.
- Patrick M. Crowley, 2005.
"An intuitive guide to wavelets for economists,"
GE, Growth, Math methods
- 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.
- 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.
- Michael KUEHL, "undated". "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
- 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.
- Gilles Dufrénot & Valérie Mignon & Théo Naccache, "undated".
"The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”,"
09/03, University of Nottingham, CREDIT.
- Gilles Dufrénot & Valérie Mignon & Théo Naccache, 2012. "The slow convergence of per capita income between the developing countries: ‘growth resistance’ and sometimes ‘growth tragedy’," Post-Print hal-01385800, HAL.
- 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.
- Elder, John & Serletis, Apostolos, 2008. "Long memory in energy futures prices," Review of Financial Economics, Elsevier, vol. 17(2), pages 146-155.
- Heni Boubaker, 2016. "A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 693-731, December.
- Morten Ørregaard Nielsen & Per Frederiksen, 2005.
"Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration,"
1189, Queen's University, Department of Economics.
- 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.
- Kevin Dowd & John Cotter, 2011.
"U.S. Core Inflation: A Wavelet Analysis,"
200617, Geary Institute, University College Dublin.
- Mark J. Jensen, 1997.
"An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets,"
- 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.
- 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, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999.
- 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.
- Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.
- Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
- SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, EconWPA, revised 30 Sep 1998.
- 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.
- 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.
- Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
- 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).
- 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.
- 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.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016.
"Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach,"
2016-09, University of Connecticut, Department of Economics.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach," Working Papers 201647, University of Pretoria, Department of Economics.
- Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
- 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.
- 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.
- Khan, Hashmat, 2000. "Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis," Staff Working Papers 00-13, Bank of Canada.
- 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.
- Yushu Li, 2015. "Estimate Long Memory Causality Relationship by Wavelet Method," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 531-544, April.
- 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.
- 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.
- Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000 148, Society for Computational Economics.
- 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.
- 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.
- repec:got:cegedp:76 is not listed on IDEAS
- 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.