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On the properties of the periodogram of a stationary long-memory process over different epochs with applications. (2010). Moulines, Eric ; Reisen, Valderio A. ; Soulier, Philippe ; Franco, Glaura C..
In: Journal of Time Series Analysis.
RePEc:bla:jtsera:v:31:y:2010:i:1:p:20-36.

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  1. A frequency-domain test for long range dependence. (2018). Philippe, Anne ; Haye, Mohamedou Ould ; Gromykov, Gennadi.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9164-6.

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  2. Record length requirement of long-range dependent teletraffic. (2017). Li, Ming.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:472:y:2017:i:c:p:164-187.

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  3. A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model. (2014). Arteche, Josu ; Zamprogno, Bartolomeu ; Palma, Wilfredo ; Reisen, Valderio A..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:98:y:2014:i:c:p:1-17.

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  4. Bootstrap tests for fractional integration and cointegration: A comparison study. (2013). Alves, F. A. ; Reisen, V. A. ; Franco, G. C..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:87:y:2013:i:c:p:19-29.

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References

References cited by this document

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Cocites

Documents in RePEc which have cited the same bibliography

  1. Are standard asset pricing factors long-range dependent?. (2018). Auer, Benjamin Rainer.
    In: Journal of Economics and Finance.
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  2. Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation. (2018). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni.
    In: Working Papers.
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  3. Pure return persistence, Hurst exponents and hedge fund selection – A practical note. (2016). Auer, Benjamin R.
    In: Journal of Asset Management.
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  4. A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies. (2016). Boubaker, Heni.
    In: Computational Economics.
    RePEc:kap:compec:v:48:y:2016:i:4:d:10.1007_s10614-015-9541-4.

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  5. On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations. (2016). Auer, Benjamin R.
    In: Finance Research Letters.
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  6. On time-varying predictability of emerging stock market returns. (2016). Auer, Benjamin R.
    In: Emerging Markets Review.
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  7. Long memory and the relation between options and stock prices. (2015). Chou, Heng-Chih ; Tu, Yu-Chen ; Huang, Teng-Ching .
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  8. Long Memory, Fractional Integration, and Cross-Sectional Aggregation. (2015). Vera-Valdés, J ; Haldrup, Niels ; Vera-Valdes, Eduardo J.
    In: CREATES Research Papers.
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  9. Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap. (2014). Poskitt, Donald ; Martin, Gael ; Grose, Simone D..
    In: Monash Econometrics and Business Statistics Working Papers.
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  10. Modelling the Real Exchange Rate: A new Sequential Approach. (2014). Chaouachi, Slim .
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  11. Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks. (2014). chaouachi, slim ; Ftiti, Zied.
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  12. Unchecked manipulations, price–volume relationship and market efficiency: Evidence from emerging markets. (2014). Edirisuriya, Piyadasa ; Azad, A.S.M. ; Azad, A. S. M. Sohel, ; Fang, Victor ; Azmat, Saad.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:51-71.

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  13. .

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  14. The Exponential Model for the Spectrum of a Time Series: Extensions and Applications. (2013). Proietti, Tommaso ; Luati, Alessandra.
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  15. Log-Periodogram Estimation of the Long-Memory Parameter: An Evaluation of Competing Estimators. (2013). Patterson, Kerry ; Heravi, Saeed.
    In: Economics & Management Discussion Papers.
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  16. Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange. (2013). Ezzat, Hassan .
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  17. TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS. (2013). Anuta, Ludusan Emilia ; Maria, Pece Andreea ; Simona, Mutu .
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  18. SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence. (2013). PEGUIN-FEISSOLLE, Anne ; Chikhi, Mohamed ; Terraza, Michel.
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  19. Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue. (2013). DE TRUCHIS, Gilles.
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  20. The Exponential Model for the Spectrum of a Time Series: Extensions and Applications. (2013). Proietti, Tommaso ; Luati, Alessandra.
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  21. Estimation and Testing for Fractional Cointegration. (2012). DE TRUCHIS, Gilles ; ALOY, Marcel.
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  22. Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures. (2012). Kongcharoen, Chaleampong ; Baillie, Richard T. ; Kapetanios, George.
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  23. Local polynomial Whittle estimation of perturbed fractional processes. (2012). Nielsen, Morten ; Frederiksen, Per .
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  24. Comovements among U.S. state housing prices: Evidence from fractional cointegration. (2012). Payne, James ; Gil-Alana, Luis ; Barros, Carlos.
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  25. Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue. (2012). DE TRUCHIS, Gilles.
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  26. Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence. (2011). HIREMATH, GOURISHANKAR ; Bandi, Kamaiah .
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  27. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
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  30. On the properties of the periodogram of a stationary long-memory process over different epochs with applications. (2010). Moulines, Eric ; Reisen, Valderio A. ; Soulier, Philippe ; Franco, Glaura C..
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  37. Semiparametric estimation in perturbed long memory series. (2006). Arteche, Josu ; University of the Basque Country, .
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  41. Tests of Bias in Log-Periodogram Regression. (2005). Sibbertsen, Philipp ; Davidson, James.
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  44. Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity. (2005). Smallwood, Aaron.
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  45. Estimating Long Memory in Volatility. (2004). Moulines, Eric ; Hurvich, Clifford ; Soulier, Philippe.
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  46. Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity. (2004). Smallwood, Aaron.
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  47. Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory. (2004). Park, Joon ; Miller, J..
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