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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.

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Cited: 18

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  12. Changing-regime volatility: A fractionally integrated SETAR model. (2008). PEGUIN-FEISSOLLE, Anne ; GUEGAN, Dominique ; Dufrénot, Gilles.
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  15. TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA. (2006). Quoreshi, Shahiduzzaman.
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  16. LongMemory, Count Data, Time Series Modelling for Financial Application. (2006). Quoreshi, Shahiduzzaman.
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  17. An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series. (2006). Swanson, Norman ; Bhardwaj, Geetesh.
    In: Journal of Econometrics.
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    RePEc:arx:papers:cond-mat/0204626.

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

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  39. 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.

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  40. 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.

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

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  42. 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.

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  43. 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.

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  44. 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.

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

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  46. 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.

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

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

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

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

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

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

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