1. Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators. (2023). Gannaz, Irene.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:155:y:2023:i:c:p:485-534.

   Full description at Econpapers || Download paper

2. Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Balboa, Marina ; Rubia, Antonio.
   In: Working Papers.
   RePEc:ptu:wpaper:w202102.

   Full description at Econpapers || Download paper

3. Robustness of Detrended Cross-correlation Analysis Method Under Outliers Observations. (2021). Dhifaoui, Zouhaier.
   In: Working Papers.
   RePEc:hal:wpaper:hal-03411380.

   Full description at Econpapers || Download paper

4. Two-step wavelet-based estimation for Gaussian mixed fractional processes. (2019). Abry, Patrice ; Li, Hui ; Didier, Gustavo.
   In: Statistical Inference for Stochastic Processes.
   RePEc:spr:sistpr:v:22:y:2019:i:2:d:10.1007_s11203-018-9190-z.

   Full description at Econpapers || Download paper

5. Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104.

   Full description at Econpapers || Download paper

6. Frequency-Domain Estimation as an Alternative to Pre-Filtering External Cycles in Structural VAR Analysis. (2016). Perez-Laborda, Alejandro ; Lovcha, Yuliya ; Perezlaborda, Alejandro.
   In: Working Papers.
   RePEc:urv:wpaper:2072/290743.

   Full description at Econpapers || Download paper

7. Multivariate Wavelet Whittle Estimation in Long-range Dependence. (2016). Achard, Sophie ; Gannaz, Irene.
   In: Journal of Time Series Analysis.
   RePEc:bla:jtsera:v:37:y:2016:i:4:p:476-512.

   Full description at Econpapers || Download paper

8. On the interplay between short and long term memory in the power-law cross-correlations setting. (2015). Krištoufek, Ladislav.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:421:y:2015:i:c:p:218-222.

   Full description at Econpapers || Download paper

9. DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES. (2015). Pipiras, Vladas ; Kechagias, Stefanos.
   In: Journal of Time Series Analysis.
   RePEc:bla:jtsera:v:36:y:2015:i:1:p:1-25.

   Full description at Econpapers || Download paper

10. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodriguez Caballero, Carlos ; Haldrup, Niels ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-58.

    Full description at Econpapers || Download paper

11. On the interplay between short and long term memory in the power-law cross-correlations setting. (2014). Krištoufek, Ladislav.
    In: Papers.
    RePEc:arx:papers:1409.6444.

    Full description at Econpapers || Download paper

12. Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-19.

    Full description at Econpapers || Download paper

13. Mixed-correlated ARFIMA processes for power-law cross-correlations. (2013). Krištoufek, Ladislav ; Kristoufek, Ladislav.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:24:p:6484-6493.

    Full description at Econpapers || Download paper

14. 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

15. Mixed-correlated ARFIMA processes for power-law cross-correlations. (2013). Krištoufek, Ladislav.
    In: Papers.
    RePEc:arx:papers:1307.6046.

    Full description at Econpapers || Download paper

16. 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

References contributed by pyi43-30781

1. Abadir, K. M., Distaso, W. and Giraitis, L. (2007) Nonstationarity-extended local Whittle estimation. Journal of Econometrics 141, 1353–84.

2. Andrews, D. W. K. and Sun, Y. (2004) Adaptive local polynomial Whittle estimation of long-range dependence. Econometrica 72, 569–614.

3. Baillie, R. T. (1996) Long memory processes and fractional integration in econometrics. Journal of Econometrics 73, 5–59.

4. Baillie, R. T. and Bollerslev, T. (1989) The message in daily exchange rates: a conditional variance tale. Journal of Business and Economic Statistics 7, 297–305.

5. Baillie, R. T. and Bollerslev, T. (1994) Cointegration, fractional cointegration, and exchange rate dynamics. Journal of Finance 49, 737–45.

6. Dalla, V., Giraitis, L. and Hidalgo, J. (2006) Consistent estimation of the memory parameter for nonlinear time series. Journal of Time Series Analysis 27, 211–51.

7. Davidson, J. and Hashimzade, N. (2009) Type I and type II fractional brownian motions: a reconsideration. Computational Statistics and Data Analysis 53, 2089–106.

8. Diebold, F. X., Gardeazabal, J. and Yilmaz, K. (1994) On cointegration and exchange rate dynamics. Journal of Finance 49, 727–35.

9. Hosking, J. R. M. (1981) Fractional differencing. Biometrika 68, 165–76.
   Paper not yet in RePEc: Add citation now
   
10. Hurvich, C. M. and Chen, W. W. (2000) An efficient taper for potentially overdifferenced long-memory time series. Journal of Time Series Analysis 21, 155–80.
    Paper not yet in RePEc: Add citation now
    

11. Hurvich, C. M. and Ray, B. K. (1995) Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Journal of Time Series Analysis 16, 17–41.

12. Kim, C. and Phillips, P. (2000) Modified log periodogram regression. Working Paper, Yale University.
    Paper not yet in RePEc: Add citation now
    

13. Kim, C. S. and Phillips, P. C. B. (2006) Log periodogram regression: the nonstationary case. Cowles Foundation Discussion Papers 1587, Cowles Foundation, Yale University.

14. Ku¨ nsch, H. R. (1987) Statistical aspects of self-similar processes. In Proceedings of the First World Congress of the Bernoulli Society (eds Y. Prokhorov and V. V. Sazanov ). Utrecht: VNU Science Press, pp. 67–74.
    Paper not yet in RePEc: Add citation now
    
15. Lahiri, S. N. (2003) A necessary and sufficient condition for asymptotic independence of discrete fourier transforms under short- and long-range dependence. Annals of Statistics 31, 613–41.
    Paper not yet in RePEc: Add citation now
    

16. Lobato, I. N. (1999) A semiparametric two-step estimator in a multivariate long memory model. Journal of Econometrics 73, 303–24.

17. Lobato, I. N. and Velasco, C. (2000) Long memory in stock-market trading volume. Journal of Business and Economic Statistics 18, 570–6.

18. Marinucci, D. and Robinson, P. M. (1999) Alternative forms of fractional brownian motion. Journal of Statistical Planning and Inference 21, 685–705.
    Paper not yet in RePEc: Add citation now
    

19. Nielsen, F. S. (2008) Local polynomial Whittle estimation covering nonstationary fractional processes. CREATES RP 2008-28, University of Aarhus.

20. Nielsen, M. Ø. (2004) Optimal residual-based tests for fractional cointegration and exchange rate dynamics. Journal of Business & Economic Statistics 22, 331–45.

21. Nielsen, M. Ø. and Shimotsu, K. (2007) Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics 127, 574–96.

22. Phillips, P. C. B. (1999) Discrete fourier transformation of fractional processes. Discussion Paper 1243, Yale University (Cowles Foundation).
    Paper not yet in RePEc: Add citation now
    
23. Phillips, P. C. B. and Shimotsu, K. (2004) Local Whittle estimation in nonstationary and unit root cases. Annals of Statistics 32, 656–92.
    Paper not yet in RePEc: Add citation now
    
24. Robinson, P. M. (1994) Rates of convergence and optimal spectral bandwidth for long range dependence. Probability Theory and Related Fields 99, 443–73.
    Paper not yet in RePEc: Add citation now
    
25. Robinson, P. M. (1995a) Gaussian semiparametric estimation of long range dependence. Annals of Statistics 23, 1630–61.
    Paper not yet in RePEc: Add citation now
    
26. Robinson, P. M. (1995b) Log-periodogram regression of time series with long range dependence. Annals of Statistics 23, 1048–72.
    Paper not yet in RePEc: Add citation now
    
27. Robinson, P. M. (2008) Multiple local Whittle estimation in stationary systems. Annals of Statistics 36, 2508–30.
    Paper not yet in RePEc: Add citation now
    

28. Shimotsu, K. (2007) Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics 137, 277–310.

29. Shimotsu, K. and Phillips, P. (2005) Exact local Whittle estimation of fractional integration. The Annals of Statistics 33, 1890–933.
    Paper not yet in RePEc: Add citation now
    
30. Velasco, C. (1999a) Gaussian semiparametric estimation of non-stationary time series. Journal of Time Series Analysis 20, 87–127.
    Paper not yet in RePEc: Add citation now
    

31. Velasco, C. (1999b) Non-stationary log-periodogram regression. Journal of Econometrics 91, 325–71.

1. Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form. (2016). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; A. M. Robert Taylor, .
   In: Working Paper.
   RePEc:qed:wpaper:1324.

   Full description at Econpapers || Download paper

2. Persistence in Convergence: Some further results. (2016). Yazgan, Ege ; Stengos, Thanasis ; Ozkan, Harun.
   In: Working Papers.
   RePEc:gue:guelph:2016-05.

   Full description at Econpapers || Download paper

3. Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gunay, Samet ; Gnay, Samet .
   In: IJFS.
   RePEc:gam:jijfss:v:4:y:2016:i:2:p:11-:d:70218.

   Full description at Econpapers || Download paper

4. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
   In: Working Papers.
   RePEc:hal:wpaper:hal-01158524.

   Full description at Econpapers || Download paper

5. High versus Low Inflation: Implications for Price-Level Convergence. (2015). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
   In: Working Papers.
   RePEc:fiu:wpaper:1503.

   Full description at Econpapers || Download paper

6. Forecasting long memory series subject to structural change: A two-stage approach. (2015). Dias, Gustavo Fruet ; Papailias, Fotis.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:4:p:1056-1066.

   Full description at Econpapers || Download paper

7. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
   In: ESSEC Working Papers.
   RePEc:ebg:essewp:dr-15007.

   Full description at Econpapers || Download paper

8. Linkages between the US and European Stock Markets: A Fractional Cointegration Approach. (2015). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Orlando, James C.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1505.

   Full description at Econpapers || Download paper

9. The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks. (2015). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_5630.

   Full description at Econpapers || Download paper

10. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodriguez Caballero, Carlos ; Haldrup, Niels ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-58.

    Full description at Econpapers || Download paper

11. High versus Low Inflation: Implications for Price-Level Convergence. (2014). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1412.

    Full description at Econpapers || Download paper

12. Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process. (2014). Bardet, Jean-Marc ; Tudor, Ciprian.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:131:y:2014:i:c:p:1-16.

    Full description at Econpapers || Download paper

13. The persistence and asymmetric volatility in the Nigerian stock bull and bear markets. (2014). YAYA, OLAOLUWA ; Gil-Alana, Luis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:463-469.

    Full description at Econpapers || Download paper

14. 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

15. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants. (2014). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4696.

    Full description at Econpapers || Download paper

16. Long memory in US real output per capita. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Empirical Economics.
    RePEc:spr:empeco:v:44:y:2013:i:2:p:591-611.

    Full description at Econpapers || Download paper

17. Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201359.

    Full description at Econpapers || Download paper

18. Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201321.

    Full description at Econpapers || Download paper

19. Long memory in the ukrainian stock market and financial crises. (2013). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: MPRA Paper.
    RePEc:pra:mprapa:59061.

    Full description at Econpapers || Download paper

20. Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets. (2013). PEGUIN-FEISSOLLE, Anne ; Boubaker, Heni.
    In: Computational Economics.
    RePEc:kap:compec:v:42:y:2013:i:3:p:291-306.

    Full description at Econpapers || Download paper

21. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-519.

    Full description at Econpapers || Download paper

22. Testing for a break in trend when the order of integration is unknown. (2013). Taylor, Robert ; Leybourne, Stephen ; Iacone, Fabrizio ; Robert Taylor, A. M., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:1:p:30-45.

    Full description at Econpapers || Download paper

23. Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis. (2013). Gil-Alana, Luis ; Jiang, Liang.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00705.

    Full description at Econpapers || Download paper

24. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1294.

    Full description at Econpapers || Download paper

25. Long Memory in the Ukrainian Stock Market. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1279.

    Full description at Econpapers || Download paper

26. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4224.

    Full description at Econpapers || Download paper

27. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-35.

    Full description at Econpapers || Download paper

28. Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro. (2012). Taylor, Karl ; Gil-Alana, Luis ; Cuestas, Juan.
    In: Working Papers.
    RePEc:shf:wpaper:2012005.

    Full description at Econpapers || Download paper

29. Persistence in Real Exchange Rate Convergence. (2012). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Paper series.
    RePEc:rim:rimwps:16_12.

    Full description at Econpapers || Download paper

30. Comparaison of several estimation procedures for long term behavior. (2012). GUEGAN, Dominique ; Lu, Zhiping ; Zhu, BeiJia .
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:12008.

    Full description at Econpapers || Download paper

31. Persistence in Real Exchange Rate Convergence.. (2012). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2012-07..

    Full description at Econpapers || Download paper

32. 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

33. Testing the Marshall-Lerner Condition in Kenya. (2012). Mudida, Robert ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1247.

    Full description at Econpapers || Download paper

34. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos P..
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1186.

    Full description at Econpapers || Download paper

35. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos Pestana.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3935.

    Full description at Econpapers || Download paper

36. Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics. (2011). Gil-Alana, Luis ; Cao, Yun.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1211.

    Full description at Econpapers || Download paper

37. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Paper series.
    RePEc:rim:rimwps:34_11.

    Full description at Econpapers || Download paper

38. 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

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

    Full description at Econpapers || Download paper

40. 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

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

    Full description at Econpapers || Download paper

42. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2011-05..

    Full description at Econpapers || Download paper

43. 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

44. 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

45. 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

46. 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

47. Two estimators of the long-run variance: Beyond short memory. (2009). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:1:p:56-70.

    Full description at Econpapers || Download paper

48. 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

49. 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

50. Log Periodogram Regression: The Nonstationary Case. (2006). Phillips, Peter ; Kim, Chang Sik.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1587.

    Full description at Econpapers || Download paper

Report date: 2025-09-25 22:58:20 || Missing content? Let us know