Nothing Special   »   [go: up one dir, main page]

create a website
Long Run and Cyclical Dynamics in the US Stock Market. (2007). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
In: CESifo Working Paper Series.
RePEc:ces:ceswps:_2046.

Full description at Econpapers || Download paper

Cited: 10

Citations received by this document

Cites: 75

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case. (2014). JAMMAZI, RANIA ; Aloui, Chaker.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-198.

    Full description at Econpapers || Download paper

  2. Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:29:y:2013:i:c:p:1-9.

    Full description at Econpapers || Download paper

  3. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1294.

    Full description at Econpapers || Download paper

  4. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4224.

    Full description at Econpapers || Download paper

  5. Modelling Long Run Trends and Cycles in Financial Time Series Data. (2012). Gil-Alana, Luis ; Cuñado, Juncal ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1312.

    Full description at Econpapers || Download paper

  6. Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics. (2011). Gil-Alana, Luis ; Cao, Yun .
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1211.

    Full description at Econpapers || Download paper

  7. Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0211.

    Full description at Econpapers || Download paper

  8. The weekly structure of US stock prices. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:23:p:1757-1764.

    Full description at Econpapers || Download paper

  9. Multiple cyclical fractional structures in financial time series. (2010). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:17:y:2010:i:11:p:1079-1081.

    Full description at Econpapers || Download paper

  10. Market Access and the Evolution of within Plant Productivity in Chile. (2007). Ledezma, Ivan ; Bas, Maria.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/6913.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Agiakloglou, C. and P. Newbold, 1993, Lagrange Multiplier tests for fractional difference, Journal of Time Series Analysis 15, 253-262.
    Paper not yet in RePEc: Add citation now
  2. Agiakloglou, C., P. Newbold and M. Wohar, 1993, Bias in an estimator of the fractional difference parameter, Journal of Time Series Analysis 14, 235-246.

  3. Ahtola, J.. and Tiao, G.C., 1987, Distributions of least squares estimators of autoregressive parameters for a process with complex roots on the unit circle, Journal of Time Series Analysis 8, 1-14.

  4. Andel, J., 1986, Long memory time series models, Kybernetika 22, 105-123.
    Paper not yet in RePEc: Add citation now
  5. Andersen, T.G. and T. Bollerslev, 1997, Heterogeneous information arrivals of return volatility dynamics: increasing the long run in high frequency returns, Journal of Finance 52, 975-1006.

  6. Arteche, J. and P.M. Robinson, 2000, Semiparametric inference in seasonal and cyclical long memory processes, Journal of Time Series Analysis 21, 1-25.

  7. Arteche, J., 2002, Semiparametric robust tests on seasonal and cyclical long memory series, Journal of Time Series Analysis 23, 1-35.

  8. Ashley, R., 1998, A new technique for postsample model selection and validation, Journal of Economics Dynamics and Control 22, 647-665.

  9. Backus, D. and S. Zin, 1993, Long memory inflation uncertainty: Evidence of term structure of interest rate, Journal of Money, Credit and Banking 25, 687-700.

  10. Baillie, R.T., C-F. Chung and M.A. Tieslau, 1996, Analysing inflation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics 11, 23-40.

  11. Baxter, M. and R.G. King, 1999, Measuring business cycles approximate band-pass filters for economic time series, The Review of Economics and Statistics 81, 575-593.

  12. Beaudry P. and G. Koop, 1993, Do recessions permanently change output?, Journal of Monetary Economics 31, 149-163.

  13. Beran, J., Bhansali, R.J. and Ocker, D., 1998, On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes, Biometrika 85, 921-934.
    Paper not yet in RePEc: Add citation now
  14. Bierens, H.J., 2001, Complex unit roots and business cycles. Are they real?, Econometric Theory 17, 962-983.

  15. Bisaglia, L., S. Bordignon and F. Lisi, 2003, k-factor GARMA models for intraday volatility forecasting, Applied Economics Letters 10, 251-254.

  16. Bos, C., Franses, P.H. and Ooms, M., 1999, Long memory and level shifts: Reanalyzing inflation rates, Empirical Economics 24, 427-449.

  17. Burnside, A.C., 1998, Detrending and business cycle facts. A comment, Journal of Monetary Economics 41, 5 13-532.

  18. Candelon, B. and L. A. Gil-Alana, 2004, Fractional integration and business cycle features, Empirical Economics 29, 1-17.

  19. Canova, F., 1998, Detrending and business cycle facts. A users guide, Journal of Monetary Economics 41, 533-540.

  20. Caporale, G.M. and L.A. Gil-Alana, 2002, Fractional integration and mean reversion in stock prices, Quarterly Review of Economics and Finance 42, 599-609.

  21. Cecchetti, S.G., Lam, P.-S. and N.C. Mark, 1990, Mean reversion in equilibrium asset prices, American Economic Review 80, 398-4 18.

  22. Chung, C. -F., 1 996a, A generalized fractionally integrated autoregressive moving-average process, Journal of Time Series Analysis 17, 111-140. Chung, C.-F., 1996b, Estimating a generalized long memory process, Journal of Econometrics 73, 237-259.

  23. Clark, T.E. and M.W. McCracken, 2001, Tests of forecast accuracy and encompassing for nested models, Journal of Econometrics 105, 85-110.

  24. Dahlhaus, R., 1989, Efficient parameter estimation for self-similar process, Annals of Statistics 17, 1749-1766.
    Paper not yet in RePEc: Add citation now
  25. Dalla, V. and J. Hidalgo, 2005, A parametric bootstrap test for cycles, Journal of Econometrics 129, 219-261.

  26. Dickey, D. A. and W. A. Fuller, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427-431.
    Paper not yet in RePEc: Add citation now
  27. Diebold, F.X. and A. Inoue, 2001, Long memory and regime switching, Journal of Econometrics 105, 131-159.

  28. Diebold, F.X. and R.S. Mariano, 1995, Comparing predictive accuracy, Journal of Business, Economics and Statistics 13, 253-263.

  29. Fama, E.F. (1970), Efficient capital markets: a review of theory and empirical work, Journal of Finance, 25, 383-417.

  30. Fiorentini, G. and E. Sentana, 1998, Conditional means of time series processes and time series processes for conditional means, International Economic Review 39, 1101-1118.

  31. Forbes, W.P., 1996, Picking winners? A survey of the mean reversion and overreaction of stock price literature, Journal of Economic Surveys 10, 123-158.

  32. Fox, R. and M.S. Taqqu, 1986, Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series, Annals of Statistics 14, 5 17-532.
    Paper not yet in RePEc: Add citation now
  33. Gil-Alana, L.A. and P.M. Robinson , 2001, Testing seasonal fractional integration in the UK and Japanese consumption and income, Journal of Applied Econometrics 16, 95-114.

  34. Gil-Alana, L.A. and P.M. Robinson, 1997, Testing of unit roots and other nonstationary hypotheses in macroeconomic time series, Journal of Econometrics 80, 24 1-268.

  35. Gil-Alana, L.A., 2001, Testing stochastic cycles in macroeconomic time series, Journal of Time Series Analysis 22, 4 11-430.

  36. Gil-Alana, L.A., 2007, Fractional integration and structural breaks at unknown points in time, forthcoming in Journal of Time Series Analysis.

  37. Giraitis, L. and P. Leipus, 1995, A generalized fractionally differencing approach in long memory modelling, Lithuanian Mathematical Journal 35, 65-81.
    Paper not yet in RePEc: Add citation now
  38. Granger, C.W.J. and Hyung, N., 2004, Occasional structural break and long memory with an application to the S&P 500 absolute stock returns, Journal of Empirical Finance 11, 399-421.

  39. Gray, H.L., Yhang, N. and Woodward, W.A., 1989, On generalized fractional processes, Journal of Time Series Analysis 10, 233-257.
    Paper not yet in RePEc: Add citation now
  40. Gray, H.L., Yhang, N. and Woodward, W.A., 1994, On generalized fractional processes. A correction, Journal of Time Series Analysis 15, 561-562.
    Paper not yet in RePEc: Add citation now
  41. Hannan, E.J. and Quinn, B.G., 1979, The determination of the order of an autoregression, Journal of the Royal Statistical Society, Series B. 41, 190-195.
    Paper not yet in RePEc: Add citation now
  42. Harvey, A., 1985, Trends and cycles in macroeconomic time series, Journal of Business and Economics Statistics 3, 216-227.

  43. Harvey, D.I., S.J. Leybourne and P. Newbold, 1997, Testing the equality of prediction mean squared errors, International Journal of Forecasting 13, 281-291.

  44. Hassler, U. and J. Wolters, 1995, Long memory in inflation rates. International evidence, Journal of Business and Economic Statistics 13, 37-45.

  45. Hosking, J.R.M., 1981, Fractional differencing, Biometrika 68, 165-176.
    Paper not yet in RePEc: Add citation now
  46. King, R.G. and S.T. Rebelo, 1999, Resuscitating real business cycles, in J.B. Taylor and M.

  47. Lee, D.K.C. and P.M. Robinson, 1996, Semiparametric exploration of long memory in stock prices, Journal of Statistical Planning and Inference 50, 155-174.
    Paper not yet in RePEc: Add citation now
  48. Lildholdt, P., 2002, Sources of seasonal fractional integration in macroeconomic time series, CAF Working Paper Series n.125, University of Aarhus.
    Paper not yet in RePEc: Add citation now
  49. Lo, A, and A.C. MacKinlay, 1988, Stock prices do not follow a random walk. Evidence from a simple specification test, Review of Financial Studies 1, 41-66.

  50. Lo, A., 1991, Long term memory in stock prices, Econometrica 59, 1279-13 13.

  51. Marinucci, D. and P.M Robinson, 1999, Semiparametric Fractional Cointegration Models, Journal of Statistical Planning and Inference 80, 111-122.
    Paper not yet in RePEc: Add citation now
  52. May, C.T., 1999, Non-linear Pricing. Theory and Practise, John Wiley & Sons Inc. New York.
    Paper not yet in RePEc: Add citation now
  53. Mayoral, L., 2007, Minimum distance estimation of stationary and nonstationary ARFIMA processes, Econometrics Journal 10, 124-148.

  54. McCracken, M.W., 2000, Robust out-of-sample inference, Journal of Econometrics 99, 195- 223.

  55. Montanan, A. Rosso, R. and M.S. Taqqu, 1996, Some long run properties of rainfall records in Italy, Journal of Geophysical Resources Atmosphere 101, 431-438.
    Paper not yet in RePEc: Add citation now
  56. Montanan, A., Rosso, R. and M.S. Taqqu, 1997, Fractionally differenced ARIMA models applied to hydrological time series. Identification, estimation and simulation, Water Resources Research 33, 1033-1044.
    Paper not yet in RePEc: Add citation now
  57. Pesaran, M.H. and S.M Potter, 1997, A floor and ceiling model of US output, Journal of Economics Dynamics and Control 21, 661-695.

  58. Peters, E.E., 1994, Fractal Market Hypothesis, Applying chaos theory to investment and economics, New York, John Wiley and Sons.
    Paper not yet in RePEc: Add citation now
  59. Phillips, P.C.B. and K. Shimotsu, 2005, Exact local Whittle estimation of fractional integration, Annals of Statistics 32, 656-692.
    Paper not yet in RePEc: Add citation now
  60. Phillips, P.C.B. and P. Perron, 1988, Testing for unit root in time series regression, Biometrika 75, 335-346.
    Paper not yet in RePEc: Add citation now
  61. Poterba, J. and L. Summers, 1988, Mean reversion in stock returns. Evidence and implications, Journal of Financial Economics 22, 27-60.
    Paper not yet in RePEc: Add citation now
  62. Press, W.H., B.P. Flannery, S.A. Teukolsky and W.T. Vetterling, 1986, Numerical recipes. The art of scientific computing, Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  63. Robinson, P.M. and F. lacone, 2005, Cointegration in fractional systems with deterministic trends, Journal of Econometrics 127, 263-298.

  64. Robinson, P.M., 1994, Efficient tests of nonstationary hypotheses, Journal of the American Statistical Association 89, 1420-143 7.
    Paper not yet in RePEc: Add citation now
  65. Robinson, P.M., 1995, Gaussian semiparametric estimation of long range dependence, Annals of Statistics 23, 1630-1661.
    Paper not yet in RePEc: Add citation now
  66. Robinson, P.M., 2001, The memory of stochastic volatility models, Journal of Econometrics 101, 195-218.

  67. Shea, G., 1991, Uncertainty and implied variance bounds of long memory models of the interest rate term structure, Empirical Economics 16, 287-3 12.

  68. Smallwood, A. and S.C. Norrbin, 2006, Testing interest rate equalization, Review of International Economics.
    Paper not yet in RePEc: Add citation now
  69. Sowell, F., 1992, Maximum likelihood estimation of stationary univariate fractionally integrated time series models, Journal of Econometrics 53, 165-188.

  70. Stock, J.H. and M.W. Watson, 2002, Macroeconomic forecasting using diffusion indexes, Journal of Business and Economic Statistics 20, 147-162.

  71. Szego, G., 1975, Orthogonal polynomials, American Mathematical Society, 4th Edition.
    Paper not yet in RePEc: Add citation now
  72. Tanaka, K., 1999, The Nonstationary Fractional Unit Root, Econometric Theory, 15, pp. 549- 582.

  73. Velasco, C., 1999, Gaussian semiparametric estimation of nonstationary time series, Journal of Time Series Analysis 20, 87-127.

  74. Witt, S.F. and C.A. Witt, 1992, Modelling and forecasting demand in tourism. San Diego, Academic Press.
    Paper not yet in RePEc: Add citation now
  75. Woodford eds., Handbook in Macroeconomics, Vol. 1, 928-1001. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics 54, 159-178.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier.
    In: CREATES Research Papers.
    RePEc:aah:create:2022-02.

    Full description at Econpapers || Download paper

  2. .

    Full description at Econpapers || Download paper

  3. Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

    Full description at Econpapers || Download paper

  4. Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

    Full description at Econpapers || Download paper

  5. Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). Davidson, Russell ; Ben maatoug, Abderrazak ; Lamouchi, Rim.
    In: Post-Print.
    RePEc:hal:journl:hal-01982032.

    Full description at Econpapers || Download paper

  6. Long memory or structural breaks: Some evidence for African stock markets. (2017). Darrat, Ali F ; Tah, Kenneth A ; Ngene, Geoffrey.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:34:y:2017:i:1:p:61-73.

    Full description at Econpapers || Download paper

  7. Long memory or structural breaks: Some evidence for African stock markets. (2017). Ngene, Geoffrey ; Darrat, Ali F ; Tah, Kenneth A.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:34:y:2017:i:c:p:61-73.

    Full description at Econpapers || Download paper

  8. Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case. (2014). JAMMAZI, RANIA ; Aloui, Chaker.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-198.

    Full description at Econpapers || Download paper

  9. .

    Full description at Econpapers || Download paper

  10. Log-Periodogram Estimation of the Long-Memory Parameter: An Evaluation of Competing Estimators. (2013). Patterson, Kerry ; Heravi, Saeed.
    In: Economics & Management Discussion Papers.
    RePEc:rdg:emxxdp:em-dp2013-02.

    Full description at Econpapers || Download paper

  11. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth. (2013). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:389-402.

    Full description at Econpapers || Download paper

  12. The effect of round-off error on long memory processes. (2013). Lillo, Fabrizio ; la Spada, Gabriele .
    In: Papers.
    RePEc:arx:papers:1107.4476.

    Full description at Econpapers || Download paper

  13. Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks. (2011). Clark, Steven ; Coggin, T..
    In: Empirical Economics.
    RePEc:spr:empeco:v:40:y:2011:i:2:p:373-391.

    Full description at Econpapers || Download paper

  14. Non-parametric tests of real exchange rates in the post-Bretton Woods era. (2010). Ahking, Francis.
    In: Empirical Economics.
    RePEc:spr:empeco:v:39:y:2010:i:2:p:439-456.

    Full description at Econpapers || Download paper

  15. Level-shifts and non-linearity in US financial ratios: Implications for returns predictability and the present value model. (2010). McMillan, David G..
    In: Review of Accounting and Finance.
    RePEc:eme:rafpps:v:9:y:2010:i:2:p:189-207.

    Full description at Econpapers || Download paper

  16. Long memory of volatility measures in time series. (2009). Wójtowicz, Tomasz ; Gurgul, Henryk ; Wojtowicz, Tomasz.
    In: Operations Research and Decisions.
    RePEc:wut:journl:v:1:y:2009:p:37-54.

    Full description at Econpapers || Download paper

  17. The effect of tapering on the semiparametric estimators for nonstationary long memory processes. (2009). Boutahar, Mohamed ; Marimoutou, Velayoudom ; Nouira, Leila .
    In: Statistical Papers.
    RePEc:spr:stpapr:v:50:y:2009:i:2:p:225-248.

    Full description at Econpapers || Download paper

  18. The confusing time-series behaviour of real exchange rates: Are asymmetries important?. (2009). McMillan, David G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:692-711.

    Full description at Econpapers || Download paper

  19. Tests of bias in log-periodogram regression. (2009). Sibbertsen, Philipp ; Davidson, James.
    In: Economics Letters.
    RePEc:eee:ecolet:v:102:y:2009:i:2:p:83-86.

    Full description at Econpapers || Download paper

  20. Using the bootstrap for finite sample confidence intervals of the log periodogram regression. (2009). Orbe, Jesus ; Arteche, Josu.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:1940-1953.

    Full description at Econpapers || Download paper

  21. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.. (2009). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Working papers.
    RePEc:bfr:banfra:234.

    Full description at Econpapers || Download paper

  22. A Study on Spurious Long Memory in Nonlinear Time Series Models. (2008). Sibbertsen, Philipp ; Kuswanto, Heri.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-410.

    Full description at Econpapers || Download paper

  23. Dynamics of Persistence in International Inflation Rates. (2007). Okimoto, Tatsuyoshi ; Kumar, Manmohan S.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:39:y:2007:i:6:p:1457-1479.

    Full description at Econpapers || Download paper

  24. Optimal prediction with nonstationary ARFIMA model. (2007). Boutahar, Mohamed.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:26:y:2007:i:2:p:95-111.

    Full description at Econpapers || Download paper

  25. Long memory and structural changes in the forward discount: An empirical investigation. (2007). Zivot, Eric ; Choi, Kyongwook.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:3:p:342-363.

    Full description at Econpapers || Download paper

  26. Long Run and Cyclical Dynamics in the US Stock Market. (2007). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2046.

    Full description at Econpapers || Download paper

  27. Long-run properties of trading volume and volatility of equities listed in DJIA index. (2006). Wójtowicz, Tomasz ; Gurgul, Henryk ; Wojtowicz, Tomasz.
    In: Operations Research and Decisions.
    RePEc:wut:journl:v:3-4:y:2006:p:29-56.

    Full description at Econpapers || Download paper

  28. Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration. (2005). Nielsen, Morten ; Frederiksen, Per .
    In: Working Papers.
    RePEc:qed:wpaper:1189.

    Full description at Econpapers || Download paper

  29. Fisher Hypothesis Revisited: A Fractional Cointegration Analysis. (2005). Kasman, Adnan ; Turgutlu, Evrim .
    In: Discussion Paper Series.
    RePEc:deu:dpaper:0504.

    Full description at Econpapers || Download paper

  30. Analysing long memory and volatility of returns in the Athens stock exchange. (2004). Vougas, Dimitrios.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:457-460.

    Full description at Econpapers || Download paper

  31. Fractional Output Convergence, with an Application to Nine Developed Countries. (2004). Beyaert, Arielle.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:280.

    Full description at Econpapers || Download paper

  32. The exact maximum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study. (2004). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2004:i:21:p:1-16.

    Full description at Econpapers || Download paper

  33. Level Shifts and the Illusion of Long Memory in Economic Time Series. (2004). Smith, Aaron.
    In: Working Papers.
    RePEc:ags:ucdavw:11974.

    Full description at Econpapers || Download paper

  34. The exact minimum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study. (2003). Mignon, Valérie ; Lardic, sandrine.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2003-06.

    Full description at Econpapers || Download paper

  35. Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation. (2003). Zivot, Eric ; Choi, Kyongwook.
    In: EERI Research Paper Series.
    RePEc:eei:rpaper:eeri_rp_2003_02.

    Full description at Econpapers || Download paper

  36. THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR. (2001). Lieberman, Offer.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:20:y:2001:i:3:p:369-383.

    Full description at Econpapers || Download paper

  37. BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL. (2001). Martin, Gael.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:20:y:2001:i:2:p:217-234.

    Full description at Econpapers || Download paper

  38. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly. (2001). Phillips, Peter ; Maynard, Alex.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:6:p:671-708.

    Full description at Econpapers || Download paper

  39. Do long-memory models have long memory?. (2000). Andersson, Michael K..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:16:y:2000:i:1:p:121-124.

    Full description at Econpapers || Download paper

  40. 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

  41. A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap.. (1999). Maharaj, Elizabeth.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:1999-11.

    Full description at Econpapers || Download paper

  42. Fractional cointegration, long memory, and exchange rate dynamics. (1999). Liu, Angela Y. ; Pan, Ming-Shiun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:8:y:1999:i:3:p:305-316.

    Full description at Econpapers || Download paper

  43. Non-stationary log-periodogram regression. (1999). Velasco, Carlos.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:91:y:1999:i:2:p:325-371.

    Full description at Econpapers || Download paper

  44. A comparison of techniques of estimation in long-memory processes. (1998). GUEGAN, Dominique ; Bisaglia, Luisa.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:27:y:1998:i:1:p:61-81.

    Full description at Econpapers || Download paper

  45. Long Memory and Forecasting in Euroyen Deposit Rates. (1997). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:361.

    Full description at Econpapers || Download paper

  46. Long Memory in the Greek Stock Market. (1996). Barkoulas, John ; Baum, Christopher ; Travlos, Nickolaos .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:356.

    Full description at Econpapers || Download paper

  47. Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates. (1996). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:317.

    Full description at Econpapers || Download paper

  48. A Score Test for Seasonal Fractional Integration and Cointegration. (1995). Silvapulle, Param.
    In: Econometrics.
    RePEc:wpa:wuwpem:9506005.

    Full description at Econpapers || Download paper

  49. A search for long memory in international stock market returns. (1995). Cheung, Yin-Wong ; Lai, Kon S..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:14:y:1995:i:4:p:597-615.

    Full description at Econpapers || Download paper

  50. The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”. (). Mignon, Valérie ; Dufrénot, Gilles ; Dufrenot, Gilles ; Naccache, Theo .
    In: Discussion Papers.
    RePEc:not:notcre:09/03.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-18 21:57:33 || 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.