This document has not been cited yet.

1. Agiakloglou, C. and P. Newbold (1994), Lagrange multiplier tests for fractional dierence, Journal of Time Series Analysis 15, 253– 262.
   Paper not yet in RePEc: Add citation now
   

2. Baillie, R.T. and T. Bollerslev (1994), The long memory of the forward premium, Journal of International Money and Finance 13, 565– 571.

3. Baillie, R.T. and T. Bollerslev (2000), The forward premium anomaly is not as bad as you think, Journal of International Money and Finance 19, 471– 488.

4. Baillie, R.T., C.-F. Chung and M.A. Tieslau (1996), Analyzing in‡ ation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics 11, 23– 40.
   Paper not yet in RePEc: Add citation now
   

5. Breitung, J. and U. Hassler (2002), Inference on the cointegration rank in fractionally integrated processes, Journal of Econometrics 110, 167– 185.

6. Cavaliere, G. and A.M.R. Taylor (2007), Testing for unit roots in time series models with nonstationary volatility, Journal of Econometrics 140, 919– 947.

7. Cavaliere, G. and A.M.R. Taylor (2008a), Bootstrap unit root tests for time series with non-stationary volatility, Econometric Theory 24, 43– 71.

8. Cavaliere, G. and A.M.R. Taylor (2008b), Time-change unit root tests for time series with nonstationary volatility, Journal of Time Series Analysis 29, 300– 330.

9. Cavaliere, G. and A.M.R. Taylor (2009), Heteroskedastic time series with a unit root, Econometric Theory 25, 1228– 1270.

10. Cavaliere, G., A. Rahbek and A.M.R. Taylor (2014), Bootstrap determination of the co-integration rank in heteroskedastic VAR models, Econometric Reviews 33, 606– 650.

11. Cavaliere, G., M.Ø. Nielsen and A.M.R. Taylor (2013), Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, QED working paper 1309, Queen’ s University.

12. Cavaliere, G., M.Ø. Nielsen and A.M.R. Taylor (2014), Quasi-maximum likelihood estimation of heteroskedastic fractional time series models, QED working paper 1324, Queen’ s University.

13. Cheng, X. and P.C.B. Phillips (2012), Cointegrating rank selection in models with time-varying variance, Journal of Econometrics 169, 155– 165.

14. Davidson, R. and E. Flachaire (2008), The wild bootstrap, tamed at last, Journal of Econometrics 146, 162– 169.

15. Davidson, R. and J. MacKinnon (2000), Bootstrap tests: how many bootstraps? Econometric Reviews 19, 55– 68.

16. Demetrescu, M., V. Kuzin and U. Hassler (2008), Long memory testing in the time domain, Econometric Theory 24, 176– 215.

17. Dolado, J.J., J. Gonzalo and L. Mayoral (2002), A fractional Dickey-Fuller test for unit roots, Econometrica 70, 1963– 2006.

18. Doornik, J.A. (2007), Object-Oriented Matrix Programming Using Ox, 3rd ed., London: Timberlake Consultants Press.
    Paper not yet in RePEc: Add citation now
    

19. Engle, R.F. (1990), Discussion: stock market volatility and the crash of ’ 87, Review of Financial Studies 3, 103–

1. Learning generates Long Memory. (2013). Mavroeidis, Sophocles ; Chevillon, Guillaume.
   In: Post-Print.
   RePEc:hal:journl:hal-00661012.

   Full description at Econpapers || Download paper

2. Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable. (2012). Satchell, Stephen ; Srivastava, Nandini.
   In: Birkbeck Working Papers in Economics and Finance.
   RePEc:bbk:bbkefp:1209.

   Full description at Econpapers || Download paper

3. The threshold nonstationary panel data approach to forward premiums. (2011). Nagayasu, Jun.
   In: MPRA Paper.
   RePEc:pra:mprapa:34265.

   Full description at Econpapers || Download paper

4. Learning generates Long Memory. (2011). Mavroeidis, Sophocles ; Chevillon, Guillaume.
   In: ESSEC Working Papers.
   RePEc:ebg:essewp:dr-11013.

   Full description at Econpapers || Download paper

5. Demographic volatility and economic growth: convention and beyond. (2010). Mishra, Tapas ; DIEBOLT, Claude.
   In: Quality & Quantity: International Journal of Methodology.
   RePEc:spr:qualqt:v:44:y:2010:i:1:p:25-45.

   Full description at Econpapers || Download paper

6. Persistence-robust Granger causality testing. (2010). Maynard, Alex ; Bauer, Dietmar.
   In: Working Papers.
   RePEc:gue:guelph:2010-11..

   Full description at Econpapers || Download paper

7. Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis. (2010). Choi, Kyongwook ; Sakoulis, Georgios ; Zivot, Eric.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:17:y:2010:i:5:p:957-966.

   Full description at Econpapers || Download paper

8. Fractional Integration and Structural Breaks in U.S. Macro Dynamics. (2009). Moreno, Antonio ; Gil-Alana, Luis.
   In: Faculty Working Papers.
   RePEc:una:unccee:wp0209.

   Full description at Econpapers || Download paper

9. Can exchange rate volatility explain persistence in the forward premium?. (2008). Kellard, Neil ; Sarantis, Nicholas.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:15:y:2008:i:4:p:714-728.

   Full description at Econpapers || Download paper

10. 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

11. Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model.. (2008). Amri, Sofiane .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08f30042.

    Full description at Econpapers || Download paper

12. Official interventions and the forward premium anomaly. (2007). Moh, Young-Kyu ; Mark, Nelson.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:499-522.

    Full description at Econpapers || Download paper

13. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-20.

    Full description at Econpapers || Download paper

14. The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine. (2007). Gil-Alana, Luis ; Fischer, Christian.
    In: Discussion Papers.
    RePEc:ags:ubfred:57033.

    Full description at Econpapers || Download paper

15. International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications. (2007). Gil-Alana, Luis ; Fischer, Christian.
    In: 105th Seminar, March 8-10, 2007, Bologna, Italy.
    RePEc:ags:eaa105:7859.

    Full description at Econpapers || Download paper

16. Technology Shocks and Hours Worked: A Fractional Integration Perspective. (2006). Moreno, Antonio ; Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0306.

    Full description at Econpapers || Download paper

17. A Further Look into the Demography-based GDP Forecasting Method.. (2006). Mishra, Tapas.
    In: Working Papers of BETA.
    RePEc:ulp:sbbeta:2006-17.

    Full description at Econpapers || Download paper

18. The out-of-sample forecasts of nonlinear long-memory models of the real exchange rate. (2006). Chung, Sang-Kuck .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:11:y:2006:i:4:p:355-370.

    Full description at Econpapers || Download paper

19. Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes. (2006). Marmer, Vadim ; Andrews, Donald ; Lieberman, Offer.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:2:p:673-702.

    Full description at Econpapers || Download paper

20. 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

21. The Long and the Short of It: Long Memory Regressors and Predictive Regressions. (2005). Wohar, Mark ; Smallwood, Aaron ; Maynard, Alex.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:384.

    Full description at Econpapers || Download paper

22. Testing forward rate unbiasedness allowing for persistent regressors. (2005). Maynard, Alex ; Liu, Wei.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:5:p:613-628.

    Full description at Econpapers || Download paper

23. Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float. (2004). Masih, Abul ; A. Mansur M. Masih, .
    In: Applied Economics.
    RePEc:taf:applec:v:36:y:2004:i:6:p:593-605.

    Full description at Econpapers || Download paper

24. A new t-test for the R/S analysis and long memory in agricultural commodity prices. (2004). Jin, Hyun ; Frechette, Darren L..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:11:p:661-667.

    Full description at Econpapers || Download paper

25. The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis. (2004). Sekioua, Sofiane.
    In: Money Macro and Finance (MMF) Research Group Conference 2003.
    RePEc:mmf:mmfc03:85.

    Full description at Econpapers || Download paper

26. Real convergence in Taiwan: a fractionally integrated approach. (2004). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Cuñado, Juncal ; Cunado, J..
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:15:y:2004:i:3:p:529-547.

    Full description at Econpapers || Download paper

27. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market. (2004). Moh, Young-Kyu ; Mark, Nelson.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:762.

    Full description at Econpapers || Download paper

28. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach. (2004). LINTON, OLIVER ; Hodgson, Douglas ; Vorkink, Keith.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:7:y:2004:n:2:p:325-353.

    Full description at Econpapers || Download paper

29. A fractional integration analysis of the population in some OECD countries. (2003). Gil-Alana, Luis.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:30:y:2003:i:10:p:1147-1159.

    Full description at Econpapers || Download paper

30. Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market. (2003). Moh, Young-Kyu ; Mark, Nelson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9948.

    Full description at Econpapers || Download paper

31. Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests. (2003). Kutan, Ali ; Zhou, SU.
    In: Open Economies Review.
    RePEc:kap:openec:v:14:y:2003:i:4:p:369-379.

    Full description at Econpapers || Download paper

32. Stochastic behavior of nominal exchange rates. (2003). Gil-Alana, Luis.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:31:y:2003:i:2:p:159-173.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

34. A nonlinear long memory model, with an application to US unemployment. (2002). van Dijk, Dick ; Paap, Richard ; Franses, Philip Hans.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:110:y:2002:i:2:p:135-165.

    Full description at Econpapers || Download paper

35. 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

36. Risk Premiums and Exchange Rate Expectations: A Reassessment of the So-Called Dollar Peg Policies of Crisis East Asian Countries, 1994-97. (2001). Takagi, Shinji ; Shinji, TAKAGI ; Taro, ESAKA .
    In: ESRI Discussion paper series.
    RePEc:esj:esridp:003.

    Full description at Econpapers || Download paper

37. Waves and persistence in merger and acquisition activity. (2001). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Economics Letters.
    RePEc:eee:ecolet:v:70:y:2001:i:2:p:237-243.

    Full description at Econpapers || Download paper

38. Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums. (2001). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:461.

    Full description at Econpapers || Download paper

39. Long memory story of the real interest rate. (2000). Tsay, Wen-Jen.
    In: Economics Letters.
    RePEc:eee:ecolet:v:67:y:2000:i:3:p:325-330.

    Full description at Econpapers || Download paper

40. The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test. (2000). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher ; Delcoure, Natalya.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:464.

    Full description at Econpapers || Download paper

41. The Applied Cointegration Analysis for the Open Economy: A Critical Review. (1999). Kang, Heejoon.
    In: Open Economies Review.
    RePEc:kap:openec:v:10:y:1999:i:3:p:325-346.

    Full description at Econpapers || Download paper

42. Multiscale behaviour of volatility autocorrelations in a financial market. (1999). Pasquini, Michele ; Serva, Maurizio.
    In: Economics Letters.
    RePEc:eee:ecolet:v:65:y:1999:i:3:p:275-279.

    Full description at Econpapers || Download paper

43. Waves and Persistence in Merger and Acquisition Activity. (1999). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:396.

    Full description at Econpapers || Download paper

44. Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve. (1997). Startz, Richard.
    In: Working Papers.
    RePEc:fip:fedlwp:1994-027.

    Full description at Econpapers || Download paper

45. Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples. (1997). van Norden, Simon ; Godbout, Marie-Josee.
    In: Staff Working Papers.
    RePEc:bca:bocawp:97-1.

    Full description at Econpapers || Download paper

46. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

    Full description at Econpapers || Download paper

47. Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:5-59.

    Full description at Econpapers || Download paper

48. 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

49. Unit-Root Test and Excess Returns.. (1996). van Norden, Simon ; Godbout, M. J..
    In: Staff Working Papers.
    RePEc:bca:bocawp:96-10.

    Full description at Econpapers || Download paper

50. Merger. (). Town, R. J..
    In: Instructional Stata datasets for econometrics.
    RePEc:boc:bocins:merger.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 19:07:41 || Missing content? Let us know