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Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Markets
16 references·4 citing·28 second hop
Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Markets (1999)Long-Term Dependencies and Long Run Non-P…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994)Cointegration, Fractional Coi…A Fractional Cointegration Analysis of Purchasing Power Parity (1993)A Fractional Cointegration An…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Nonstationarity and Level Shi…Modeling long-run behavior with the fractional ARIMA model (1992)Modeling long-run behavior wi…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Long memory and persistence in aggregate output (1989)Long memory and persistence i…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Fractional Differencing (1981)Fractional DifferencingLong memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Long memory and level shifts in REITs returns and volatility (2015)Long memory and level shifts …REITs and the financial crisis: Empirical evidence from the U.S. (2009)REITs and the financial crisi…Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets (2008)Long-term Memory in Volatilit…The Development and Performance of Listed Property Trust Futures (2004)The Development and Performan…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractional Brownian Motions, Fractional Noises and Applications (1968)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Residual-based tests for cointegration in models with regime shifts (1996)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)The Quarterly Journal of Economics (2024)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Testing for a unit root in variables with a double change in the mean (1998)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)Long memory processes and fractional integration in econometrics (1996)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
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  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1989Long memory and persistence in aggregate output546 cited
  • 1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

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363 cited
  • 1992Modeling long-run behavior with the fractional ARIMA model352 cited
  • Cited by

    • 2009REITs and the financial crisis: Empirical evidence from the U.S.34 cited
    • 2015Long memory and level shifts in REITs returns and volatility29 cited
    • 2008Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets28 cited
    • 2004The Development and Performance of Listed Property Trust Futures20 cited