create a website

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

Cited: 0

Citations received by this document

Cites: 28

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

    This document has not been cited yet.

References

References cited by this document

  1. Agiakloglou, C., Newbold, P., and M. Wohar, 1992. Bias in an estimator of the fractional difference parameter. Journal of Time Series Analysis, 14, 235--246.
    Paper not yet in RePEc: Add citation now
  2. Andrews, D.W.K, and P. Guggenberger, 2003. A biased reduced log-periodogram regression estimator for the long memory parameter. Econometrica, 71, 675-712.

  3. Annals of Statistics, 23, 1048-1072. Rudin, W., 1976. Principles of Mathematical Analysis. 3 ed., McGraw-Hill, Inc.
    Paper not yet in RePEc: Add citation now
  4. Baillie, R. T., and T. Bollerslev, 2000. The forward premium anomaly is not as bad as you think.

  5. Baillie, R. T., and T. Bollerslev, T, 1994. The long memory of the forward premium. Journal of International Money and Finance, 13 (5), 565--571.

  6. Beran, J., 1995. Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models. Journal of the Royal Statistical Society B, 57, 659-672.
    Paper not yet in RePEc: Add citation now
  7. Boston. Koustas, Z., and A. Serletis, 2005. Rational bubbles or persistent deviations from market fundamentals? Journal of Banking and Finance, forthcoming.

  8. Campbell, B. and J-M Dufour, 1997, Exact nonparametric tests of orthogonality and random walk in the presence of a drift parameter. International Economic Review, 38, 151-173.

  9. Cavanagh, C.L., Elliott, G., and J.H. Stock, 1995. Inference in models with nearly integrated regressors. Econometric Theory, 11, 1131-1147.

  10. Chung, C-F, and R.T. Baillie, 1993. Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models. Empirical Economics, 18, 791-806.

  11. Cowles Foundation Discussion Paper 1367, Yale University. Sowell, F.B. 1992. Maximum likelihood estimation of stationary univariate fractionally integrated time series models. Journal of Econometrics, 53, 165-188.

  12. Elsevier. Nielsen, M., and P.H. Frederiksen, 2004. Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration, Cornell University Working Paper, 1-54.

  13. Fox, R., and M. Taqqu, 1986. Large sample properties of parameter estimates for strongly dependent stationary Gaussian time series. The Annals of Statistics, 14, 517-532.
    Paper not yet in RePEc: Add citation now
  14. Geweke, J., Porter-Hudak, S., 1983. The estimation and application of long memory time series models. Journal of Time Series Analysis, 4, 221-238.
    Paper not yet in RePEc: Add citation now
  15. Gradshtein, I. S. and I. M. Ryzhik, 1994. Tables of Integrals, Series and Products. Academic Press.
    Paper not yet in RePEc: Add citation now
  16. Journal of International Money and Finance, 19, 471-488. Bekaert. G. and R. Hodrick, 2001. Expectations hypothesis tests. Journal of Finance, 56, 13571394.

  17. Liu, W. and A. Maynard, 2005. Testing forward rate unbiasedness allowing for persistent regressors. Journal of Empirical Finance, forthcoming.

  18. Mankiw, N., and M. Shapiro, 1986. Do we reject too often? Small sample properties of tests of rational expectations models. Economics Letters, 20, 139-145.

  19. Maynard, A., 2003. Testing the forward rate unbiasedness: On regression in levels and in returns, Review of Economics and Statistics, 85 (2), 313-327.

  20. Maynard, A., and K. Shimotsu, 2004. Covariance-based orthogonality tests for regressors with unknown persistence. Mimeo, University of Toronto.

  21. Maynard, A., and P.C.B. Phillips, 2001. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly. Journal of Applied Econometrics, 16, 671-708.

  22. Newbold, P., Wohar, M., Rayner, T., Kellard, N., and C. Ennew, 1998. Two puzzles in the analysis of foreign exchange market efficiency. International Review of Financial Analysis, 7, 95111.

  23. Newey, W.K. and D. McFadden, 1994. Large sample estimation and hypothesis testing. In: Handbook of Econometrics (F. Engle and D.L. McFadden, Eds.). Vol. IV. Pp. 2111-2245.

  24. Phillips, P.C.B., 1999. Discrete Fourier transforms of fractional processes. Cowles Foundation Discussion Paper 1243, Yale University.

  25. Shimotsu, K. and P.C.B. Phillips, 2002. Exact local Whittle estimation of fractional integration.

  26. Stambaugh, R.F. 1999. Predictive regressions, Journal of Financial Economics, 54 , 375-421.

  27. Sun, Y., and P.C.B. Phillips, 2003. Nonlinear log-periodogram regression estimator for perturbed fractional processes. Journal of Econometrics, 115, 355-389.

  28. Torous, W., Valkanov, R., and S. Yan, 2005. On predicting stock returns with nearly integrated explanatory variables. The Journal of Business, forthcoming, 78 (1).

Cocites

Documents in RePEc which have cited the same bibliography

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    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. 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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  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, .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:51-71.

    Full description at Econpapers || Download paper

  13. .

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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 .
    In: Annals of Faculty of Economics.
    RePEc:ora:journl:v:1:y:2013:i:1:p:1113-1124.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  21. 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

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  26. Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence. (2011). HIREMATH, GOURISHANKAR ; Bandi, Kamaiah.
    In: MPRA Paper.
    RePEc:pra:mprapa:48517.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.
    RePEc:wut:journl:v:3-4:y:2006:p:29-56.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  38. Sieve Bootstrap for Strongly Dependent Stationary Processes. (2006). Psaradakis, Zacharias ; Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:552.

    Full description at Econpapers || Download paper

  39. 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

  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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  43. Semiparametric estimation in perturbed long memory series. (2005). .
    In: BILTOKI.
    RePEc:ehu:biltok:200502.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 02:34:00 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.