1. Observation Driven Long Run Equilibria. (2020). Łasak, Katarzyna ; Lont, Johannes.
   In: Computational Economics.
   RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09903-0.

   Full description at Econpapers || Download paper

2. On an Estimation Method for an Alternative Fractionally Cointegrated Model. (2014). Łasak, Katarzyna ; Lasak, Katarzyna ; Carlini, Federico.
   In: CREATES Research Papers.
   RePEc:aah:create:2014-15.

   Full description at Econpapers || Download paper

3. A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges. (2013). Santucci de Magistris, Paolo ; Rossi, Eduardo.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:33:y:2013:i:1:p:77-102.

   Full description at Econpapers || Download paper

4. On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146.

   Full description at Econpapers || Download paper

5. Fractional cointegration rank estimation. (2013). Velasco, Carlos ; Łasak, Katarzyna ; Lasak, Katarzyna.
   In: CREATES Research Papers.
   RePEc:aah:create:2013-08.

   Full description at Econpapers || Download paper

6. On the Predictability of Stock Prices: a Case for High and Low Prices. (2012). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
   In: Working Papers on Finance.
   RePEc:usg:sfwpfi:2012:13.

   Full description at Econpapers || Download paper

7. Estimation and Testing for Fractional Cointegration. (2012). DE TRUCHIS, Gilles ; ALOY, Marcel.
   In: Working Papers.
   RePEc:hal:wpaper:halshs-00793206.

   Full description at Econpapers || Download paper

8. On the Predictability of Stock Prices: a Case for High and Low Prices. (2011). Ranaldo, Angelo ; Caporin, Massimiliano.
   In: Working Papers.
   RePEc:snb:snbwpa:2011-11.

   Full description at Econpapers || Download paper

9. On the Predictability of Stock Prices: A Case for High and Low Prices.. (2011). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
   In: Marco Fanno Working Papers.
   RePEc:pad:wpaper:0136.

   Full description at Econpapers || Download paper

10. An extension of cointegration to fractional autoregressive processes. (2011). Johansen, Soren.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-06.

    Full description at Econpapers || Download paper

11. Likelihood based testing for no fractional cointegration. (2010). Łasak, Katarzyna ; Lasak, Katarzyna.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:158:y:2010:i:1:p:67-77.

    Full description at Econpapers || Download paper

12. Likelihood inference for a fractionally cointegrated vector autoregressive model. (2010). Nielsen, Morten ; Johansen, Soren.
    In: Queen's Economics Department Working Papers.
    RePEc:ags:quedwp:273737.

    Full description at Econpapers || Download paper

13. A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-31.

    Full description at Econpapers || Download paper

14. Likelihood based testing for no fractional cointegration. (2008). Łasak, Katarzyna.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-52.

    Full description at Econpapers || Download paper

1. Andersson, M. K., Gredenhoff M. P. (1999), On the maximum likelihood cointegration procedure under a fractional equilibrium error, Economics Letters, 65, 143-147.

2. Andrews, D. W. K., Sun, Y. (2004), Adaptive Local Polynomial Whittle Estimation of Longrange Dependence, Econometrica, 72, 569-614.

3. Avarucci, M. (2007), Three Essays on Fractional Cointegration, PhD Thesis, University of Rome `Tor Vergata.
   Paper not yet in RePEc: Add citation now
   

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

5. Chen, W., Hurvich, C. (2003a), Estimating fractional cointegration in the presence of polynomial trends, Journal of Econometrics, 117, 95-121.

6. Chen, W., Hurvich, C. (2003b), Semiparametric Estimation of Multivariate Fractional Cointegration, Journal of American Statistical Association, 98, 629-642.

7. Chen, W., Hurvich, C. (2006), Semiparametric Estimation of Fractional Cointegrating Subspaces, Annals of Statistics, 34, 2939-2979.

8. Christensen, B. J., Nielsen M. 0. (2006), Asymptotic normality of narrow-band least square in the stationary fractional cointegration model and volatility forecasting, Journal of Econometrics, 133, 343-371.

9. Davidson, J. (2002), A model of fractional cointegration, and tests for cointegration using the bootstrap, Journal of Econometrics, 110, 187-212.

10. Dittmann, I. (2004), Error correction models for fractionally cointegrated time series, Journal of Time Series Analysis, 25, 27-32.

11. Dolado, J. J., Marmol F. (2004), Asymptotic inference results for Multivariate long-memory processes, The Econometrics Journal, 7, 168-190.

12. Doornik, J. A. (2002), Object-Oriented Matrix Programming Using Ox, 3rd ed. London, Timberlake Consultants Press and Oxford, www.doornik.com.
    Paper not yet in RePEc: Add citation now
    

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

14. Engle, R.F., Granger C.W.J. (1987), Co-integration and Error Correction: Representation, Estimation and Testing, Econometrica, 55, 251-276.

15. Gil-Alaña, L. A. (2003), Testing of Fractional Cointegration in Macroeconomic Time Series Oxford Bulletin of Economics and Statistics, 65, 517-529.
    Paper not yet in RePEc: Add citation now
    

16. Gil-Alaña, L. A. (2004), A Joint Test of Fractional Integration and Structural Breaks at a Known Period of Time, Journal of Time Series Analysis, 25, 691-700.

17. Granger, C. W J (1986), Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics, 48, 213-28.

18. Hassler, U., Marmol, F., Velasco, C. (2006), Fractional cointegrating regression in the presence of linear time trends, Preprint.

19. Hualde, J., Robinson, P.M. (2006), Semiparametric Estimation of Fractional Cointegration, Working Paper 07/06, Universidad de Navarra.

20. Hualde, J., Robinson, P.M. (2007), Root-N-Consistent Estimation Of Weak Fractional Cointegration, Journal of Econometrics, 127, 450-484.

21. Johansen, 5. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231-254.

22. Johansen, 5. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59, 1551-1580.

23. Johansen, 5. (1995), Likelihood-based inference in cointegrated Vector Auto-Regressive Models. Oxford University Press, Oxford.
    Paper not yet in RePEc: Add citation now
    
24. Johansen, 5. (2007), Representation of cointegrated autoregressive processes with application to fractional processes, forthcoming in Econometric Reviews.
    Paper not yet in RePEc: Add citation now
    

25. Johansen, 5. (2008), A representation theory for a class of vector autoregressive models for fractional processes, Econometric Theory, 24, 651-676.

26. Lasak, K. (2008), Likelihood based testing for no fractional cointegration, CREATES Research Paper 2008-52.

27. Lobato, I., Velasco, C. (2006) Optimal Fractional Dickey-Fuller tests, Econometrics Journal, 9, 492-510.

28. Lyhagen J. (1998), Maximum likelihood estimation of the multivariate fractional cointegrating model, Working Paper Series in Economics and Finance, 233, Stockholm School of Economics.

29. Marinucci D. (2000), Spectral Regression For Cointegrated Time Series With Long-Memory Innovations, Journal of Time Series Analysis, 21, 685-705.

30. Marinucci, D., Robinson, P.M. (2000), Weak convergence of multivariate fractional processes, Stochastic Processes and their Applications, 86, 103-120.

31. Marinucci, D., Robinson, P.M. (2001), Semiparametric fractional cointegration analysis, Journal of Econometrics 105, 225-247.

32. Marmol, F., Velasco, C. (2004), Consistent testing of cointegrating relationships, Econometrica, 72, 1809-1844.

33. Nielsen, M. 0. (2007), Local Whittle analysis of stationary fractional cointegration and impliedrealized volatility relation, Journal of Business and Economic Statistics, 25, 427-446.

34. Nielsen, M. 0., Frederiksen, P. (2007), Fully modified narrow-band least squares estimation of stationary fractional cointegration, Queens Economics Department Working Paper No. 1171.

35. Phillips, P. C. B., Hansen, B. E. (1990), Statistical inference in instrumental variable regression with 1(1) variables, Review of Economic Studies, 57, 99-125.

36. Robinson, P.M. (1994), Efficient tests of nonstationary hypotheses, Journal of the American Statistical Association, 89, 1420-1072.
    Paper not yet in RePEc: Add citation now
    

37. Robinson, P.M., Hualde, J. (2003), Cointegration in Fractional Systems with Unknown Integration Orders, Econometrica, 71, 1727-1766.

38. Robinson, P.M., lacone, F. (2005), Cointegration in fractional systems with deterministic trends, Journal of Econometrics, 129, 263-298.

39. Robinson, P.M., Marinucci, D. (1998), Frequency Domain Analysis of Fractional Cointegration, forthcoming in P. M. Robinson, Time Series with Long Memory, Oxford University Press.

40. Robinson, P.M., Marinucci, D. (2001), Narrow-Band Analysis of Nonstationary Process, The Annals of Statistics, 29, 947-986.
    Paper not yet in RePEc: Add citation now
    

41. Robinson, P.M., Yajima, Y. (2002), Determination of cointegrating rank in fractional systems, Journal of Econometrics, 106, 217-241

42. Sims, C. A., Stock, J. H., Watson, M. W. (1990), Inference in linear time series with some unit root, Econometrica, 58, 113-144.

1. Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis. (2021). Bannour, Nawres ; ben Saad, Mouna ; Boubaker, Heni.
   In: Economic Analysis and Policy.
   RePEc:eee:ecanpo:v:71:y:2021:i:c:p:592-608.

   Full description at Econpapers || Download paper

2. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates. (2020). Asai, Manabu ; Allen, David ; Shelton, Peiris ; Manabu, Asai ; David, Allen.
   In: Journal of Time Series Econometrics.
   RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:18:n:2.

   Full description at Econpapers || Download paper

3. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
   In: Hannover Economic Papers (HEP).
   RePEc:han:dpaper:dp-571.

   Full description at Econpapers || Download paper

4. A bootstrap approximation for the distribution of the Local Whittle estimator. (2016). Orbe, Jesus ; Arteche, Josu.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:100:y:2016:i:c:p:645-660.

   Full description at Econpapers || Download paper

5. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
   In: CREATES Research Papers.
   RePEc:aah:create:2016-17.

   Full description at Econpapers || Download paper

6. Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation. (2015). Chen, Xiaohong ; Christensen, Timothy.
   In: CeMMAP working papers.
   RePEc:ifs:cemmap:32/15.

   Full description at Econpapers || Download paper

7. Long memory and the relation between options and stock prices. (2015). Tu, Yu-Chen ; Huang, Teng-Ching ; Chou, Heng-Chih.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:12:y:2015:i:c:p:77-91.

   Full description at Econpapers || Download paper

8. Higher-order improvements of the sieve bootstrap for fractionally integrated processes. (2015). Poskitt, Donald ; Grose, Simone D ; Martin, Gael M.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:188:y:2015:i:1:p:94-110.

   Full description at Econpapers || Download paper

9. Nonlinear regressions with nonstationary time series. (2015). Wang, Qiying ; Chan, Nigel.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:185:y:2015:i:1:p:182-195.

   Full description at Econpapers || Download paper

10. Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation. (2015). Chen, Xiaohong ; Christensen, Timothy.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1923r.

    Full description at Econpapers || Download paper

11. 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.
    RePEc:msh:ebswps:2014-10.

    Full description at Econpapers || Download paper

12. Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. (2014). Perron, Pierre ; Hou, Jie.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:182:y:2014:i:2:p:309-328.

    Full description at Econpapers || Download paper

13. Modified information criteria and selection of long memory time series models. (2014). Kapetanios, George ; Baillie, Richard T. ; Papailias, Fotis.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:116-131.

    Full description at Econpapers || Download paper

14. A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised). (2014). Demos, Antonis ; Arvanitis, Stelios.
    In: DEOS Working Papers.
    RePEc:aue:wpaper:1411.

    Full description at Econpapers || Download paper

15. Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes. (2013). Poskitt, Donald ; Martin, Gael ; Grose, Simone D..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2013-25.

    Full description at Econpapers || Download paper

16. Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap. (2012). Poskitt, Donald ; Martin, Gael ; Grose, Simone D..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2012-8.

    Full description at Econpapers || Download paper

17. Local polynomial Whittle estimation of perturbed fractional processes. (2012). Nielsen, Morten ; Frederiksen, Per.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:2:p:426-447.

    Full description at Econpapers || Download paper

18. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:peer-00834425.

    Full description at Econpapers || Download paper

19. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:peer-00815563.

    Full description at Econpapers || Download paper

20. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:hal-00834425.

    Full description at Econpapers || Download paper

21. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:hal-00815563.

    Full description at Econpapers || Download paper

22. An I(d) model with trend and cycles. (2011). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:186-199.

    Full description at Econpapers || Download paper

23. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:240-247.

    Full description at Econpapers || Download paper

24. Local Whittle estimation of multi‐variate fractionally integrated processes. (2011). Nielsen, Frank S..
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:32:y:2011:i:3:p:317-335.

    Full description at Econpapers || Download paper

25. Generalized long memory and mean reversion of the real exchange rate. (2010). Smallwood, Aaron ; Norrbin, Stefan.
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:11:p:1377-1386.

    Full description at Econpapers || Download paper

26. Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies. (2010). Österholm, Pär ; Hjalmarsson, Erik ; Osterholm, Par.
    In: Empirical Economics.
    RePEc:spr:empeco:v:39:y:2010:i:1:p:51-76.

    Full description at Econpapers || Download paper

27. Comovements in volatility in the euro money market. (2010). MORANA, CLAUDIO ; Cassola, Nuno.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:3:p:525-539.

    Full description at Econpapers || Download paper

28. Likelihood based testing for no fractional cointegration. (2010). Łasak, Katarzyna ; Lasak, Katarzyna.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:158:y:2010:i:1:p:67-77.

    Full description at Econpapers || Download paper

29. Semiparametric inference in multivariate fractionally cointegrated systems. (2010). Hualde, Javier ; Robinson, P. M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:492-511.

    Full description at Econpapers || Download paper

30. Nonparametric Beta Kernel Estimator for Long Memory Time Series. (2009). Van Bellegem, Sebastien ; Bouezmarni, Taoufik.
    In: TSE Working Papers.
    RePEc:tse:wpaper:23200.

    Full description at Econpapers || Download paper

31. Estimators of long-memory: Fourier versus wavelets. (2009). Taqqu, Murad S. ; Fa, Gilles ; Roueff, Franois ; Moulines, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:151:y:2009:i:2:p:159-177.

    Full description at Econpapers || Download paper

32. Local Whittle estimation of multivariate fractionally integrated processes. (2009). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-38.

    Full description at Econpapers || Download paper

33. Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration. (2008). Nielsen, Morten ; Frederiksen, Per.
    In: Working Paper.
    RePEc:qed:wpaper:1171.

    Full description at Econpapers || Download paper

34. Econometric estimation in long-range dependent volatility models: Theory and practice. (2008). GAO, Jiti ; Casas, Isabel.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:72-83.

    Full description at Econpapers || Download paper

35. Nonlinear models for strongly dependent processes with financial applications. (2008). Kapetanios, George ; Baillie, Richard T..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:60-71.

    Full description at Econpapers || Download paper

36. Maximum likelihood estimation of fractionally cointegrated systems. (2008). Łasak, Katarzyna.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-53.

    Full description at Econpapers || Download paper

37. Likelihood based testing for no fractional cointegration. (2008). Łasak, Katarzyna.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-52.

    Full description at Econpapers || Download paper

38. Local polynomial Whittle estimation of perturbed fractional processes. (2008). Nielsen, Morten ; Frederiksen, Per.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-29.

    Full description at Econpapers || Download paper

39. Local polynomial Whittle estimation covering non-stationary fractional processes. (2008). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-28.

    Full description at Econpapers || Download paper

40. Comovements in Volatility in the Euro Money Market. (2007). MORANA, CLAUDIO ; Cassola, Nuno.
    In: ICER Working Papers.
    RePEc:icr:wpicer:7-2007.

    Full description at Econpapers || Download paper

41. Nonstationarity-extended local Whittle estimation. (2007). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:1353-1384.

    Full description at Econpapers || Download paper

42. Multivariate modelling of long memory processes with common components. (2007). MORANA, CLAUDIO.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2007:i:2:p:919-934.

    Full description at Econpapers || Download paper

43. Estimation of Hurst exponent revisited. (2007). Wojdyllo, P. ; Mielniczuk, J..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:9:p:4510-4525.

    Full description at Econpapers || Download paper

44. 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

45. Generalized long memory processes, failure of cointegration tests and exchange rate dynamics. (2006). Norrbin, Stefan ; Smallwood, Aaron D.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:21:y:2006:i:4:p:409-417.

    Full description at Econpapers || Download paper

46. Simple (but Effective) Tests Of Long Memory Versus Structural Breaks. (2006). Shimotsu, Katsumi.
    In: Working Paper.
    RePEc:qed:wpaper:1101.

    Full description at Econpapers || Download paper

47. Generalized long memory processes, failure of cointegration tests and exchange rate dynamics. (2006). Smallwood, Aaron ; Norrbin, Stefan.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:4:p:409-417.

    Full description at Econpapers || Download paper

48. Multivariate modelling of long memory processes with common components. (2006). MORANA, CLAUDIO.
    In: ICER Working Papers.
    RePEc:icr:wpicer:40-2006.

    Full description at Econpapers || Download paper

49. Consistent estimation of the memory parameter for nonlinear time series. (2006). Dalla, Violetta ; Giraitis, Liudas ; Hidalgo, Javier.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:6813.

    Full description at Econpapers || Download paper

50. Semiparametric Estimation of Fractional Cointegration. (2006). Robinson, Peter M. ; Hualde, Javier.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:4537.

    Full description at Econpapers || Download paper

51. A small scale macroeconometric model for the Euro-12 area. (2006). MORANA, CLAUDIO.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:23:y:2006:i:3:p:391-426.

    Full description at Econpapers || Download paper

52. Semiparametric estimation in perturbed long memory series. (2006). Arteche, Josu.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2118-2141.

    Full description at Econpapers || Download paper

53. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006703.

    Full description at Econpapers || Download paper

54. Semiparametric Estimation of Fractional Cointegration. (2006). Robinson, Peter M ; Hualde, Javier.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:502.

    Full description at Econpapers || Download paper

55. Consistent estimation of the memory parameterfor nonlinear time series. (2006). Dalla, Violetta ; Giraitis, Liudas ; Hidalgo, Javier.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:497.

    Full description at Econpapers || Download paper

56. Adaptive Estimation of the Regression Discontinuity Model. (2005). Sun, Yixiao.
    In: Econometrics.
    RePEc:wpa:wuwpem:0506003.

    Full description at Econpapers || Download paper

57. Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration. (2005). Nielsen, Morten ; Frederiksen, Per.
    In: Working Paper.
    RePEc:qed:wpaper:1189.

    Full description at Econpapers || Download paper

58. Empirical likelihood confidence intervals for the mean of a long-range dependent process. (2005). Sibbertsen, Philipp ; Lahiri, Soumendra N. ; Nordman, Dan Nordman.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-327.

    Full description at Econpapers || Download paper

59. Estimating cointegrating vectors using near unit root variables. (2004). Smallwood, Aaron ; Norrbin, Stefan.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:12:p:781-784.

    Full description at Econpapers || Download paper

60. The power of residual-based tests for cointegration when residuals are fractionally integrated. (2004). Krämer, Walter ; Kramer, Walter.
    In: Economics Letters.
    RePEc:eee:ecolet:v:82:y:2004:i:1:p:63-69.

    Full description at Econpapers || Download paper

61. Inference on the cointegration rank in fractionally integrated processes. (2002). Hassler, Uwe ; Breitung, Jörg.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:110:y:2002:i:2:p:167-185.

    Full description at Econpapers || Download paper

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

Report date: 2025-10-04 00:24:14 || Missing content? Let us know