[go: up one dir, main page]
create a website
Residual Log-Periodogram Inference for Long-Run-Relationships. (2002). Velasco, Carlos ; Hassler, Uwe ; Marmol, Francesc .
In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
RePEc:dar:wpaper:37317.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 51

References cited by this document

Cocites: 67

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Cointegration in fractional systems with deterministic trends. (2005). Robinson, Peter ; Iacone, Fabrizio.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:263-298.

    Full description at Econpapers || Download paper

  2. Cointegration in fractional systems with unkown integration orders. (2003). Hualde, Javier ; Robinson, Peter M..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:58050.

    Full description at Econpapers || Download paper

  3. Cointegration in fractional systems with unknown integration orders. (2003). Hualde, Javier ; Robinson, Peter M..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2223.

    Full description at Econpapers || Download paper

  4. Cointegration in Fractional Systems with Unkown Integration Orders. (2003). Hualde, Javier ; Robinson, Peter M.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:449.

    Full description at Econpapers || Download paper

  5. A Residual-Based LM Test for Fractional Cointegration. (2002). Hassler, Uwe ; Breitung, Jörg.
    In: Darmstadt Discussion Papers in Economics.
    RePEc:zbw:darddp:dar_37318.

    Full description at Econpapers || Download paper

  6. A Residual-Based LM Test for Fractional Cointegration. (2002). Breitung, Jörg ; Hassler, Uwe.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:37318.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. An, H.-Z., Chen, Z.-G. and Hannan, E.J. (1983). The maximum of the periodogram. Journal of Multivariate Analysis 13, 383-400.

  2. Baillie, R.T. (1996). Long memory processes and fractional integration in econometrics. Journal of Econometrics 73, 5-59.

  3. Baillie, R.T. and Bollerslev, T. (1994). Cointegration, fractional cointegration, and exchange rate dynamics. The Journal of Finance 49, 737-745.

  4. Baillie, R.T., and Bollerslev, T. (1989). Common stochastic trends in a system of exchange rates. The Journal of Finance 44, 167-181.
    Paper not yet in RePEc: Add citation now

  5. Booth, G.G. and Tse, Y. (1995). Long memory in interest rate future markets: A fractional cointegration analysis. The Journal of Future Markets 15, 563-54.

  6. Breitung, J., and Hassler, U. (2002). Inference on the Cointegration Rank in Fractionally Integrated Processes. Journal of Econometrics 110, 167-185.

  7. Brillinger, D.R. (1975). Time Series. Data Analysis and Theory. Holden Day, San Francisco.
    Paper not yet in RePEc: Add citation now

  8. Chen, Z.-G. and Hannan, E.J. (1980). The distribution of periodogram ordinates. Journal of Time Series Analysis 1, 73-82.

  9. Cheung, Y.-E. and Lai, K.S. (1993). A fractional cointegration analysis of purchasing power parity. Journal of Business and Economic Statistics 11, 103-122.

  10. Dahlhaus, R. (1989). Efficient parameter estimation for self-similar processes. Annals of Statistics 14, 517-532.
    Paper not yet in RePEc: Add citation now

  11. De Jong, R.M. and Davidson, J. (2000). The functional central limit theorem and convergence to stochastic integrals II: the fractionally integrated case. Econometric Theory 16, 643-666.

  12. Diebold, F.X., Gardeazabal, J. and Yilmaz, K. (1994). On cointegration and exchange rate dynamics. The Journal of Finance 49, 727-735.

  13. Dolado, J.J. and Marmol, F. (1997). On the properties of the Dickey-Pantula test against fractional alternatives. Economics Letters 57, 11-16.

  14. Dueker, M. and Startz, R. (1998). Maximum-likelihood estimation of fractional cointegration with an application to U.S. and Canadian Bond Rates. The Review of Economics and Statistics 80, 420-426.

  15. Engle, R.F. and Granger, C.W.J. (1987). Co-integration and error correction: Representation, estimation and testing. Econometrica 55, 251-276.

  16. Fay, G. and Soulier, P. (2001). The periodogram of an i.i.d. sequence. Stochastic Processes and Their Applications 92, 315-343.
    Paper not yet in RePEc: Add citation now
  17. Fox, R. and Taqqu, M.S. (1986). Large-sample properties of parameter estimates for strongly dependent stationary Gaussian times series. Annals of Statistics 14, 517-532.
    Paper not yet in RePEc: Add citation now

  18. Geweke, J. and Porter-Hudak, S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis 4, 221-238.

  19. Gil-Alaña, L.A. and Robinson, P.M. (1997). Testing of unit root and other non-stationary hypotheses in macroeconomic time series. Journal of Econometrics 80, 241-268.

  20. Granger, C.W.J. (1981). Some properties of time series data and their in econometric model specification. Journal of Econometrics 16, 121-130.

  21. Granger, C.W.J. and Joyeux, R. (1980). An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis 1, 15-39.

  22. Hassler, U. and Wolters, J. (1994). On the power of unit root tests against fractional alternatives. Economics Letters 45, 1-5.

  23. Hosking, J.R.M. (1981). Fractional differencing. Biometrika 68, 165-176.
    Paper not yet in RePEc: Add citation now
  24. Hosking, J.R.M. (1984). Modeling persistence in hydrological time series using fractional differencing.
    Paper not yet in RePEc: Add citation now

  25. Hurvich, C.M. and Deo, R. (1999). Plug-in selection of the number of frequencies in regression estimates of the memory parameter of a long-memory time series. Journal of Time Series Analysis 20, 331-341.

  26. Hurvich, C.M. and Ray, B.K. (1995). Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Journal of Time Series Analysis 16, 17-42.

  27. Hurvich, C.M., Deo, R. and Brodsky, J. (1998). The mean square error of Geweke and Porter-Hudak’s Estimator of the memory parameter of a long memory time series. Journal of Time Series Analysis 19, 19-46.

  28. Kim, C. and Phillips, P.C.B. (2001). Fully Modified Estimation of Fractional Cointegration Models. Preprint, Yale University.
    Paper not yet in RePEc: Add citation now
  29. Künsch, H.R. (1987). Statistical aspects of self-similar processes. Proceedings 1st World Congress of the Bernoulli Society, 67-74. VNU Science Press.
    Paper not yet in RePEc: Add citation now

  30. Lobato, I.N. and Velasco, C. (2000). Long memory in stock market trading volume. Journal of Economic and Business Statistics 18, 410-427.

  31. Marinucci, D. and Robinson, P.M. (1999). Alternative forms of fractional Brownian motion. Journal of Statistical Planning and Inference 80, 111-122.
    Paper not yet in RePEc: Add citation now

  32. Masih, A.M.M. and Masih, R. (1998). A fractional cointegration approach to testing mean reversion between spot and forward exchange rates: A case of high frequency data with low frequency dynamics. Journal of Business Finance and Accounting 25, 987-1003.

  33. Masih, R. and Masih, A.M.M. (1995). A fractional cointegration approach to empirical tests of PPP: New evidence and methodological implications from an application to the Taiwan/US dollar relationship. Review of World Economics 131, 673-694.
    Paper not yet in RePEc: Add citation now

  34. Phillips, P.C.B. and Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica 58, 165-193.

  35. Robinson, P.M. (1994a). Time series with strong dependence. In Advances in Econometrics. Sixth World Congress, Vol. I, C.A. Sims ed., 47-95. Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  36. Robinson, P.M. (1994b). Semiparametric analysis of long-memory time series. Annals of Statistics 22, 515-539.
    Paper not yet in RePEc: Add citation now
  37. Robinson, P.M. (1995a). Log-periodogram regression of time series with long range dependence. Annals of Statistics 23, 1048-1072.
    Paper not yet in RePEc: Add citation now
  38. Robinson, P.M. (1995b). Gaussian semiparametric estimation of long range dependence. Annals of Statistics 23, 1630-1661.
    Paper not yet in RePEc: Add citation now

  39. Robinson, P.M. (1997). Large sample inference for nonparametric regression with dependent errors.

  40. Robinson, P.M., and Marinucci, D. (2000). The averaged periodogram for nonstationary vector time series. Statistical Inference for Stochastic Processes 3, 149-160.

  41. Robinson, P.M., and Marinucci, D. (2001). Narrow-band analysis of nonstationary processes. Annals of Statistics 29, 947-986.

  42. Robinson, P.M., and Yajima, Y. (2002). Determination of Cointegration Rank in Fractional Systems. Journal of Econometrics 106, 217-241.

  43. Sephton, P.S. and Larsen, H.K. (1991). Tests of Exchange Market Efficiency: Fragile Evidence from Cointegration Tests. Journal of International Money and Finance 10, 561-570.

  44. Shin, Y. (1994). A residual-based test of the null of cointegration against the alternative of no cointegration. Econometric Theory 10, 91-115.

  45. Soofi, A.S. (1998). A fractional cointegration test of purchasing power parity: the case of selected members of OPEC. Applied Financial Economics 8, 559-566.

  46. Sowell, F.B. (1992). Maximum likelihood estimation of stationary univariate fractionally integrated time series. Journal of Econometrics 53, 165-188.

  47. Tse, Y.K., Anh, V.V. and Tieng, A. (1999). No-cointegration test based on fractional differencing: Some Monte Carlo results. Journal of Statistical Planning and Inference 80, 257-267.
    Paper not yet in RePEc: Add citation now

  48. Velasco, C. (1999a). Non-stationary log-periodogram regression. Journal of Econometrics 91, 325-371.

  49. Velasco, C. (1999b). Gaussian semiparametric estimation of non-stationary time series. Journal of Time Series Analysis 20, 87-127.

  50. Velasco, C. (2000). Non-Gaussian log-periodogram regression. Econometric Theory 16, 44-79.

  51. Xiao, Z. (1999). A residual based test for the null hypothesis of cointegration. Economics Letters 64, 133-141.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Financial time series modeling using the Hurst exponent. (2015). Anagnostopoulos, Christoforos ; Tzouras, Spilios ; McCoy, Emma .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:425:y:2015:i:c:p:50-68.

    Full description at Econpapers || Download paper

  2. On simulation of optimal strategies and Nash equilibrium in the financial market context. (2010). Mockus, Jonas .
    In: Journal of Global Optimization.
    RePEc:spr:jglopt:v:48:y:2010:i:1:p:129-143.

    Full description at Econpapers || Download paper

  3. Goodness of fit for lattice processes. (2009). Hidalgo, Javier.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:151:y:2009:i:2:p:113-128.

    Full description at Econpapers || Download paper

  4. Macro and Financial Markets: The Memory of an Elephant?. (2008). Talmain, Gabriel ; Abadir, Karim M.
    In: Working Paper series.
    RePEc:rim:rimwps:17_08.

    Full description at Econpapers || Download paper

  5. On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty. (2008). Caglayan, Mustafa ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:641.

    Full description at Econpapers || Download paper

  6. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks. (2007). Ooms, Marius ; Koopman, Siem Jan ; Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070099.

    Full description at Econpapers || Download paper

  7. A goodness-of-fit test for ARCH([infinity]) models. (2007). Hidalgo, Javier ; Zaffaroni, Paolo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:973-1013.

    Full description at Econpapers || Download paper

  8. A goodness-of-fit test for ARCH([infinity]) models. (2007). Hidalgo, Javier ; Zaffaroni, Paolo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:835-875.

    Full description at Econpapers || Download paper

  9. Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach. (2006). Shimotsu, Katsumi ; Nielsen, Morten.
    In: Working Papers.
    RePEc:qed:wpaper:1029.

    Full description at Econpapers || Download paper

  10. TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA. (2006). Quoreshi, Shahiduzzaman.
    In: Umeå Economic Studies.
    RePEc:hhs:umnees:0675.

    Full description at Econpapers || Download paper

  11. LongMemory, Count Data, Time Series Modelling for Financial Application. (2006). Quoreshi, Shahiduzzaman.
    In: Umeå Economic Studies.
    RePEc:hhs:umnees:0673.

    Full description at Econpapers || Download paper

  12. Residual log-periodogram inference for long-run relationships. (2006). Velasco, Carlos ; Marmol, Francesc ; Hassler, Uwe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:130:y:2006:i:1:p:165-207.

    Full description at Econpapers || Download paper

  13. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility*. (2006). Qu, Zhongjun ; Perron, Pierre.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-016.

    Full description at Econpapers || Download paper

  14. Dollarization Persistence and Individual Heterogeneity. (2005). Winkelried, Diego ; Castillo, Paul.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0512014.

    Full description at Econpapers || Download paper

  15. A NEW METHOD FOR ESTIMATING THE ORDER OF INTEGRATION OF FRACTIONALLY INTEGRATED PROCESSES USING BISPECTRA. (2005). Dalkır, Mehmet ; Dalkir, Mehmet .
    In: Econometrics.
    RePEc:wpa:wuwpem:0507001.

    Full description at Econpapers || Download paper

  16. Long Memory, Heterogeneity and Trend Chasing. (2005). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:148.

    Full description at Econpapers || Download paper

  17. Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994. (2005). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1805.

    Full description at Econpapers || Download paper

  18. The Nature of the Relationship between International Tourism and International Trade: The Case of Ge. (2005). Gil-Alana, Luis ; Fischer, Christian.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1505.

    Full description at Econpapers || Download paper

  19. Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases.. (2005). Poskitt, Donald.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2005-16.

    Full description at Econpapers || Download paper

  20. Testing for structural change in regression with long memory processes. (2005). Lazarova, Stepana .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:329-372.

    Full description at Econpapers || Download paper

  21. A bootstrap causality test for covariance stationary processes. (2005). Hidalgo, J..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:126:y:2005:i:1:p:115-143.

    Full description at Econpapers || Download paper

  22. Distilling co-movements from persistent macro and financial series. (2005). Talmain, Gabriel ; Abadir, Karim .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005525.

    Full description at Econpapers || Download paper

  23. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. (2005). Nielsen, Morten ; Haldrup, Niels.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2005-18.

    Full description at Econpapers || Download paper

  24. Persistence Characteristics of Latin American Financial Markets. (2004). Los, Cornelis ; Kyaw, Nyonyo ; ZONG, SIJING.
    In: Finance.
    RePEc:wpa:wuwpfi:0411013.

    Full description at Econpapers || Download paper

  25. Long-Term Dependence Characteristics of European Stock Indices. (2004). Los, Cornelis ; LIPKA, JOANNA M..
    In: Finance.
    RePEc:wpa:wuwpfi:0409044.

    Full description at Econpapers || Download paper

  26. Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era. (2004). Ahking, Francis.
    In: Working papers.
    RePEc:uct:uconnp:2004-95.

    Full description at Econpapers || Download paper

  27. Market Design, Bidding Rules, and Long Memory in Electricity Prices. (2004). Sapio, Sandro.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2004/07.

    Full description at Econpapers || Download paper

  28. Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity. (2004). Smallwood, Aaron.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:23.

    Full description at Econpapers || Download paper

  29. An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series. (2004). Swanson, Norman ; Bhardwaj, Geetesh.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200422.

    Full description at Econpapers || Download paper

  30. Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach. (2004). Tsui, Albert ; Ka Cheng Tsui, ; Ho, Kin-Yip.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:12.

    Full description at Econpapers || Download paper

  31. A simple and general test for white noise. (2004). Velasco, Carlos ; Lobato, Ignacio.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:112.

    Full description at Econpapers || Download paper

  32. Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade. (2004). G. K. RANDOLPH TAN, ; G. K. Randolph Tan, .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:732.

    Full description at Econpapers || Download paper

  33. Indirect Estimation of Long Memory Volatility Models. (2004). Wilkins, Nigel.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:459.

    Full description at Econpapers || Download paper

  34. Estimation of the location and exponent of the spectral singularity of a long memory process. (2004). Soulier, Philippe ; Hidalgo, Javier.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:25:y:2004:i:1:p:55-81.

    Full description at Econpapers || Download paper

  35. A Regime Switching Long Memory Model for Electricity Prices. (2004). Nielsen, Morten ; Haldrup, Niels.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2004-2.

    Full description at Econpapers || Download paper

  36. Testing and Estimating Persistence in Canadian Unemployment.. (2003). Mikhail, O. ; HANDA, JAGDISH ; EBERWEIN, Curtis J..
    In: Econometrics.
    RePEc:wpa:wuwpem:0311004.

    Full description at Econpapers || Download paper

  37. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

    Full description at Econpapers || Download paper

  38. Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil. (2003). Souza, Leonardo ; Soares, Lacir Jorge.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:491.

    Full description at Econpapers || Download paper

  39. Forecasting electricity demand using generalized long memory. (2003). Souza, Leonardo ; Soares, Lacir Jorge.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:486.

    Full description at Econpapers || Download paper

  40. A bootstrap causality test for covariance stationary processes. (2003). Hidalgo, Javier.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:6848.

    Full description at Econpapers || Download paper

  41. An alternative bootstrap to moving blocks for time series regression models. (2003). Hidalgo, Javier.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:117:y:2003:i:2:p:369-399.

    Full description at Econpapers || Download paper

  42. A Bootstrap Causality Test for Covariance Stationary Processes. (2003). Hidalgo, Javier.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:462.

    Full description at Econpapers || Download paper

  43. A note on estimation by least squares for harmonic component models. (2003). Walker, A. M..
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:24:y:2003:i:5:p:613-629.

    Full description at Econpapers || Download paper

  44. Residual Log-Periodogram Inference for Long-Run Relationships. (2002). Velasco, Carlos ; Hassler, Uwe ; Marmol, Francesc .
    In: Darmstadt Discussion Papers in Economics.
    RePEc:zbw:darddp:dar_37317.

    Full description at Econpapers || Download paper

  45. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS. (2002). Wright, Jonathan.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:21:y:2002:i:4:p:397-417.

    Full description at Econpapers || Download paper

  46. Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_03.

    Full description at Econpapers || Download paper

  47. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200201.

    Full description at Econpapers || Download paper

  48. Residual Log-Periodogram Inference for Long-Run-Relationships. (2002). Velasco, Carlos ; Hassler, Uwe ; Marmol, Francesc .
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:37317.

    Full description at Econpapers || Download paper

  49. Volatility fingerprints of large shocks: Endogeneous versus exogeneous. (2002). Malevergne, Yannick ; Sornette, D. ; Muzy, J. F..
    In: Papers.
    RePEc:arx:papers:cond-mat/0204626.

    Full description at Econpapers || Download paper

  50. Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-7.

    Full description at Econpapers || Download paper

  51. Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors. (2001). Taufer, Emanuele ; Leonenko, N. N..
    In: Metron - International Journal of Statistics.
    RePEc:mtn:ancoec:2001:105.

    Full description at Econpapers || Download paper

  52. Modelos de memoria larga para series económicas y financieras. (2001). Ruiz, Esther ; Perez, Ana .
    In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
    RePEc:cte:dsrepe:ds010101.

    Full description at Econpapers || Download paper

  53. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Duan, Jin-Chuan ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-22.

    Full description at Econpapers || Download paper

  54. Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks. (2000). Serletis, Apostolos ; Dueker, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:2000-016.

    Full description at Econpapers || Download paper

  55. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:685.

    Full description at Econpapers || Download paper

  56. The periodogram at the Fourier frequencies. (2000). Kokoszka, Piotr ; Mikosch, Thomas .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:86:y:2000:i:1:p:49-79.

    Full description at Econpapers || Download paper

  57. A statistically and computationally efficient method for frequency estimation. (2000). Song, Kai-Sheng ; Li, Ta-Hsin .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:86:y:2000:i:1:p:29-47.

    Full description at Econpapers || Download paper

  58. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

    Full description at Econpapers || Download paper

  59. Measuring core inflation in the euro area. (2000). MORANA, CLAUDIO.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20000036.

    Full description at Econpapers || Download paper

  60. Persistent Dependence in Foreign Exchange Rates? A Reexamination. (2000). Chakraborty, Atreya ; Caglayan, Mustafa ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:377.

    Full description at Econpapers || Download paper

  61. Money and Interest Rates with Endogeneously Segmented Markets. (1999). Kehoe, Patrick ; Atkeson, Andrew ; Alvarez, Fernando.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7060.

    Full description at Econpapers || Download paper

  62. Martingales, Nonlinearity, and Chaos. (1998). Serletis, Apostolos ; Barnett, William.
    In: Econometrics.
    RePEc:wpa:wuwpem:9805003.

    Full description at Econpapers || Download paper

  63. An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets. (1997). Jensen, Mark.
    In: Econometrics.
    RePEc:wpa:wuwpem:9709002.

    Full description at Econpapers || Download paper

  64. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

    Full description at Econpapers || Download paper

  65. A Multifractal Model of Asset Returns. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1164.

    Full description at Econpapers || Download paper

  66. Fractional Dynamics in Japanese Financial Time Series. (1996). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:334.

    Full description at Econpapers || Download paper

  67. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 06:05:59 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.