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Semiparametric Frequency Domain Analysis of Fractional Cointegration
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  • 1999Narrow-Band Analysis Of Nonstationary Processes107 cited
  • 2002Band Spectral Regression with Trending Data104 cited
  • 2008Multiple local whittle estimation in stationary systems90 cited
  • 2017Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 201679 cited
  • 2011Fully modified narrow‐band least squares estimation of weak fractional cointegration55 cited
  • 2007Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation52 cited
  • 2019How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?39 cited
  • 2008Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens35 cited
  • 2007Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation32 cited
  • 2013Low-frequency robust cointegration testing27 cited
  • 2004Cointegration in fractional systems with deterministic trends27 cited
  • 2017On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition23 cited
  • 2007Can exchange rate volatility explain persistence in the forward premium?23 cited
  • 2009

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A Wald test for the cointegration rank in nonstationary fractional systems
21 cited
  • 2020Consistent inference for predictive regressions in persistent economic systems19 cited
  • 2016The Estimation and Testing of the Cointegration Order Based on the Frequency Domain16 cited