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1. Are standard asset pricing factors long-range dependent?. (2018). Auer, Benjamin Rainer.
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9385-y.

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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.
   RePEc:pre:wpaper:201869.

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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.
   RePEc:pal:assmgt:v:17:y:2016:i:5:d:10.1057_jam.2016.7.

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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.
   RePEc:eee:finlet:v:16:y:2016:i:c:p:255-267.

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6. On time-varying predictability of emerging stock market returns. (2016). Auer, Benjamin R.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:27:y:2016:i:c:p:1-13.

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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.

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8. Long Memory, Fractional Integration, and Cross-Sectional Aggregation. (2015). Vera-Valdés, J. Eduardo ; Haldrup, Niels ; Vera-Valdes, Eduardo J.
   In: CREATES Research Papers.
   RePEc:aah:create:2015-59.

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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.
   RePEc:msh:ebswps:2014-10.

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10. Modelling the Real Exchange Rate: A new Sequential Approach. (2014). Chaouachi, Slim.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-390.

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11. Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks. (2014). chaouachi, slim ; Ftiti, Zied.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-147.

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12. Unchecked manipulations, price–volume relationship and market efficiency: Evidence from emerging markets. (2014). Edirisuriya, Piyadasa ; Azad, A.S.M. ; Fang, Victor ; Azmat, Saad ; Azad, A. S. M. Sohel, .
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    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.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:272.

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

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16. Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange. (2013). Ezzat, Hassan.
    In: MPRA Paper.
    RePEc:pra:mprapa:51465.

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17. TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS. (2013). Maria, Pece Andreea ; Simona, Mutu ; Anuta, LUDUSAN Emilia .
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18. SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence. (2013). PEGUIN-FEISSOLLE, Anne ; Chikhi, Mohamed ; Terraza, Michel.
    In: Computational Economics.
    RePEc:kap:compec:v:41:y:2013:i:2:p:249-265.

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19. Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue. (2013). DE TRUCHIS, Gilles.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:34:y:2013:i:c:p:98-105.

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20. The Exponential Model for the Spectrum of a Time Series: Extensions and Applications. (2013). Proietti, Tommaso ; Luati, Alessandra.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-34.

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

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22. Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures. (2012). Kongcharoen, Chaleampong ; Kapetanios, George ; Baillie, Richard T..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:1:p:46-53.

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23. 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.

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24. Comovements among U.S. state housing prices: Evidence from fractional cointegration. (2012). Payne, James ; Gil-Alana, Luis ; Barros, Carlos Pestana.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:3:p:936-942.

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25. Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue. (2012). DE TRUCHIS, Gilles.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1220.

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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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    RePEc:pra:mprapa:48517.

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

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

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29. Unit roots and purchasing power parity: another kick at the can. (2010). Sephton, Peter.
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:27:p:3439-3453.

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

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31. 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.

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32. On the long-term behavior of mutual fund returns. (2009). Sainz, Jorge ; Grau, Pilar ; Doncel Pedrera, Luis ; Grau-Carles, Pilar.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:6:p:653-660.

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33. Bootstrap‐based bandwidth choice for log‐periodogram regression. (2009). Orbe, Jesus ; Arteche, Josu.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:30:y:2009:i:6:p:591-617.

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34. Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory. (2008). Miller, J. ; Park, Joon Y..
    In: Working Papers.
    RePEc:umc:wpaper:0801.

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35. Selection of the number of frequencies using bootstrap techniques in log-periodogram regression. (2008). Orbe, Jesus ; Arteche, Josu.
    In: BILTOKI.
    RePEc:ehu:biltok:5585.

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36. 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.
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37. Semiparametric estimation in perturbed long memory series. (2006). Arteche, Josu ; University of the Basque Country, .
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:22.

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38. Sieve Bootstrap for Strongly Dependent Stationary Processes. (2006). Psaradakis, Zacharias ; Kapetanios, George.
    In: Working Papers.
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39. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006703.

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40. 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.

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41. Tests of Bias in Log-Periodogram Regression. (2005). Sibbertsen, Philipp ; Davidson, James.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-317.

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42. Semiparametric estimation in perturbed long memory series. (2005). Arteche, Josu.
    In: BILTOKI.
    RePEc:ehu:biltok:5665.

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43. Semiparametric estimation in perturbed long memory series. (2005). .
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44. Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity. (2005). Smallwood, Aaron.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:9:y:2005:i:2:n:7.

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45. Estimating Long Memory in Volatility. (2004). Moulines, Eric ; Hurvich, Clifford ; Soulier, Philippe.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412006.

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46. Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity. (2004). Smallwood, Aaron.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:23.

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47. Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory. (2004). Park, Joon ; Miller, J..
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:597.

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48. Wavelet transform for log periodogram regression in long memory stochastic volatility model. (2004). Lee, Jin.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:682.

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49. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

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50. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes. (2002). Sun, Yixiao ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1366.

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