Ahtola, J.. and Tiao, G.C., 1987, Distributions of least squares estimators of autoregressive parameters for a process with complex roots on the unit circle, Journal of Time Series Analysis 8, 1-14.
Anh, V.V., V.P. Knopova and N.N. Leonenko, 2004, Continuous-time stochastic processes with cyclical long range dependence, Australian and New Zeeland Journal of Statistics 46, 275-296.
Arteche, J. and P.M. Robinson, 2000, Semiparametric inference in seasonal and cyclical long memory processes, Journal of Time Series Analysis 21, 1-27.
Arteche, J., 2002, Semiparametric robust tests on seasonal or cyclical long memory time series, Journal of Time Series Analysis 23, 251-268.
Ashley, R., 1998, A new technique for postsample model selection and validation, Journal of Economics Dynamics and Control 22, 647-665.
Bai, J. and P. Perron, 1998, Estimating and testing linear models with multiple structural changes, Econometrica 66, 47-78.
Bai, J., 1997, Estimation of a change point in multiple regression models, The Review of Economics and Statistics 79, 551-563.
Baillie, R.T., 1996, Long memory processes and fractional integration in econometrics, Journal of Econometrics 73, 1, 5-59.
Barkoulas, J.T. and C.F. Baum, 1996, Long term dependence in stock returns. Economics Letters 53, 253-259.
Barkoulas, J.T., C.F. Baum and N. Travlos, 2000, Long memory in the Greek stock market. Applied Financial Economics 10, 177-184.
Baxter, M. and R.G. King, 1999, Measuring business cycles approximate band-pass filters for economic time series, The Review of Economics and Statistics 81, 575-593.
Beaudry P. and G. Koop, 1993, Do recessions permanently change output?, Journal of Monetary Economics 31, 149-163.
Bernanke, B.S., M. Gertler, and S. Gilchrist, 1999, The Financial Accelerator in a Quantitative Business Cycle Framework, in Handbook of Macroeconomics, Volume 1C, Handbooks in Economics, vol. 15. Amsterdam: Elsevier, pp. 1341-93.
Bierens, H.J., 1997, Testing the unit root with drift hypothesis against nonlinear trend stationarity with an application to the US price level and interest rate, Journal of Econometrics 81, 29-64.
Bierens, H.J., 2001, Complex unit roots and business cycles: Are they real? Econometric Theory 17, 962-983.
- Box, G.E.P. and D.A. Pierce, 1970, Distribution of residual autocorrelations in autoregressive integrated moving average time series models, Journal of the American Statistical Association 65, 1509-1526.
Paper not yet in RePEc: Add citation now
Burnside, A.C., 1998, Detrending and business cycle facts. A comment, Journal of Monetary Economics 41, 513-532.
Candelon, B. and L. A. Gil-Alana, 2004, Fractional integration and business cycle features, Empirical Economics 29, 1-17.
Canova, F., 1998, Detrending and business cycle facts. A user’s guide, Journal of Monetary Economics 41, 533-540.
Caporale, G.M. and L.A. Gil-Alana, 2002, Fractional integration and mean reversion in stock prices, Quarterly Review of Economics and Finance 42, 599-609.
Caporale, G.M. and L.A. Gil-Alana, 2006, Long memory at the long run and cyclical frequencies. Modelling real wages in England: 1260-1994, Empirical Economics 31(1), 83-92.
Caporale, G.M. and L.A. Gil-Alana, 2007, Long run and cyclical dynamics in the US stock market, CESifo Working Paper no. 2046.
Cheung, Y.- W. and K.S. Lai, 1995, A search for long memory in international stock market returns. Journal of International Money and Finance 14, 597-615.
Costantini, M. and R.M. Künst, 2011, On the usefulness of the Diebold and Mariano test in the selection of prediction models, Econometric Series 276, Institute for Advanced Studies.
- Crato, N., 1994, Some international evidence regarding the stochastic behaviour of stock returns. Applied Financial Economics 4, 33-39.
Paper not yet in RePEc: Add citation now
Diebold, F.X. and G.D. Rudebusch, 1989, Long memory and persistence in the aggregate output. Journal of Monetary Economics 24, 189-209.
Diebold, F.X. and R.S. Mariano, 1995, Comparing predictive accuracy, Journal of Business, Economics and Statistics 13, 253-263.
Dittmar, R.F., 2002, Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns, Journal of Finance, American Finance Association, vol. 57(1), 369-403.
Enders, W. and Granger, C.W.J., 1998. Unit root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of the American Statistical Association 16(3), 304-311.
Enders, W. and Siklos, P., 2001, Cointegration and threshold adjustment. Journal of Business and Economic Statistics 19(2), 166-176.
- Fama, E.F. and K.R. French, 1988, Permanent and transitory components of stock prices, Journal of Political Economy 96, 246-273.
Paper not yet in RePEc: Add citation now
Fama, E.F., 1970, Efficient capital markets: a review of theory and empirical work, Journal of Finance 25, 383-417.
Farmer, R., 2012, The stock market crash of 2008 caused the Great Recession. Theory and evidence, Journal of Economic Dynamics and Control 36, 693-707.
Ferrara, L. and D. Guegan, 2001, Forecasting with k-factor Gegenbauer processes. Theory and Applications. Journal of Forecasting 20, 581-601.
- Gil-Alana, L.A. and P.M. Robinson, 1997, Testing of unit roots and other nonstationary hypotheses in macroeconomic time series. Journal of Econometrics 80, 241-268.
Paper not yet in RePEc: Add citation now
Gil-Alana, L.A., 2001, Testing stochastic cycles in macroeconomic time series. Journal of Time Series Analysis 22, 411-430.
- Gil-Alana, L.A., 2006, Fractional integration in daily stock market returns. Review of Financial Economics 15, 28-48.
Paper not yet in RePEc: Add citation now
- Gil-Alana, L.A., 2007a, Testing the existence of multiple cycles in financial and economic time series. Annals of Economics and Finance 1, 1-20.
Paper not yet in RePEc: Add citation now
- Gil-Alana, L.A., 2007b, Long run and cyclical strong dependence in macroeconomic time series. Nelson and Plosser revisited, Empirica 34(2), 139-154.
Paper not yet in RePEc: Add citation now
Gil-Alana, L.A., 2008, Fractional integration and structural breaks at unknown periods of time, Journal of Time Series Analysis 29, 163-185.
Giraitis, L., J. Hidalgo and P.M. Robinson, 2001, Gaussian estimation of parametric spectral density with unknown pole, Annals of Statistics 29, 987-1023.
Gray, H.L., Yhang, N. and Woodward, W.A., 1989, On generalized fractional processes, Journal of Time Series Analysis 10, 233-257.
- Gray, H.L., Yhang, N. and Woodward, W.A., 1994, On generalized fractional processes. A correction, Journal of Time Series Analysis 15, 561-562.
Paper not yet in RePEc: Add citation now
- Hamming, R. W. (1973) Numerical Methods for Scientists and Engineers, Dover.
Paper not yet in RePEc: Add citation now
Harvey, A., 1985, Trends and cycles in macroeconomic time series, Journal of Business and Economics Statistics 3, 216-227.
Harvey, D.I., S.J. Leybourne and P. Newbold, 1997, Testing the equality of prediction mean squared errors, International Journal of Forecasting 13, 281-291.
- Hassler, U., 1994, Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis 14, 360-379.
Paper not yet in RePEc: Add citation now
- Hassler, U., P.M.M. Rodrigues and A. Rubia, 2009, Testing for the general unit root hypothesis in the time domain, Econometric Theory 25, 1793-1828.
Paper not yet in RePEc: Add citation now
Henry, O.T., 2002, Long memory in stock returns. Some international evidence. Applied Financial Economics 12, 725-729.
Hidalgo, J. and P. Soulier, 2004, Estimation of the location and exponent of the spectral singularity of a long memory process, Journal of Time Series Analysis 25, 55-81.
Hidalgo, J., 2005, Semiparametric estimation for stationary processes whose spectra have an unknown pole, Annals of Statistics 35, 1843-1889.
- Hosking, J.R.M., 1981, Fractional differencing, Biometrika 68, 165-176.
Paper not yet in RePEc: Add citation now
- Hosking, J.R.M., 1984, Modelling persistence in hydrological time series using fractional differencing, Water Resources Research 20, 1898-1908.
Paper not yet in RePEc: Add citation now
- Hosoya, Y., 1997, A limit theorem for long run dependence and statistical inference on related models, Annals of Statistics 25, 105-137.
Paper not yet in RePEc: Add citation now
- King, R.G. and S.T. Rebelo, 1999, Resucitating real business cycles, in J.B. Taylor and M. Woodford eds., Handbook in Macroeconomics 1, 928-1001.
Paper not yet in RePEc: Add citation now
Lee, J. and M.C. Strazicich, 2001, Break point estimation and spurious rejections with endogenous unit root tests, Oxford Bulletin of Economics and Statistics 63, 535-558.
Lobato, I. and C. Velasco, 2007, Efficient Wald test for fractional unit roots, Econometrica 75, 575-589.
- Magnus, W., Oberhettinger, F. and R.P. Soni, 1966, Formulas and theorems for the special functions of mathematical physics. Springer, Berlin.
Paper not yet in RePEc: Add citation now
- Ooms, M., 1997, Flexible seasonal long memory and economic time series, Econometrics Institute Report 134, University of Roterdam, Econometrics.
Paper not yet in RePEc: Add citation now
Pesaran, M.H. and S.M Potter, 1997, A floor and ceiling model of US output, Journal of Economics Dynamics and Control 21, 661-695.
- Peters, E.E., 1994, Fractal Market Analysis: Applying Chaos Theory to Investment and Economics, John Wiley & Sons, New York.
Paper not yet in RePEc: Add citation now
Poterba, J.M. and L.H. Summers, 1988, Mean reversion in stock prices: evidence and implications, Journal of Financial Economics 22, 27-59.
- Rainville, E.D., 1960, Special functions, MacMillan, New York.
Paper not yet in RePEc: Add citation now
- Robinson, P.M., 1994, Efficient tests of nonstationary hypotheses, Journal of the American Statistical Association 89, 1420-1437.
Paper not yet in RePEc: Add citation now
- Sadek, N. and A. Khotanzad, 2004, K-factor Gegenbauer ARMA process for network traffic simulation. Computers and Communications 2, 963-968.
Paper not yet in RePEc: Add citation now
Sadique, S. and P. Silvapulle, 2001, Long-term memory in stock market returns. International evidence. International Journal of Finance and Economics 6, 59-67.
Skalin, J. and Teräsvirta, T., 2002. Modelling asymmetries and moving equilibria in unemployment rates. Macroeconomic Dynamics, 6, 202-241.
Soares, L.J. and L.R. Souza, 2006, Forecasting electricity demand using generalized long memory, International Journal of Forecasting 22, 17-28.
Sowell, F., 1992, Maximum likelihood estimation of stationary univariate fractionally integrated time series models, Journal of Econometrics 53, 165-188.
- Stock, J.H. and M.W. Watson, 2003, Has the business cycle changed? Proceedings of the Federal Reserve Bank of Kansas City, Symposium “Monetary Policy and Uncertaintyâ€, pages 9-56.
Paper not yet in RePEc: Add citation now
Stock, J.H. and M.W. Watson, 2005, Understanding changes in international business cycle dynamics, Journal of the European Economic Association, MIT Press 35, 9681006.
Summers, L.H., 1986, Does the stock market rationally reflect fundamental values?, Journal of Finance 41, 591-601.
Tanaka, K., 1999, The nonstationary fractional unit root, Econometric Theory 15, 549582.
Tolvi, J., 2003, Long memory and outliers in stock market returns. Applied Financial Economics 13, 495-502.
- Wright, J., 2009, Testing for a structural break at unknown date with long memory disturbances, Journal of Time Series Analysis 19, 369-376.
Paper not yet in RePEc: Add citation now
Zivot, E. and D.W.K. Andrews, 1992, Further evidence on the Great Crash, the Oil Price shock and the unit root hypothesis, Journal of Business and Economic Statistics 10, 251270.