References

• 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
• 1988Statistical analysis of cointegration vectors17,038 cited
• 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
• 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
• 2002The Message in Daily Exchange Rates791 cited
• 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
• 1989Common Stochastic Trends in a System of Exchange Rates626 cited
• 1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
• 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics363 cited
• 1994On Cointegration and Exchange Rate Dynamics198 cited
• 2001Semiparametric fractional cointegration analysis164 cited
• 1996Estimating a generalized long memory process134 cited
• 1999Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures76 cited
• 2004Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics36 cited
• 2001Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries