Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Nonstationarity-extended local Whittle estimation

7 references·16 citing·35 second hop

FromToDepth

this work references cited by second hop

References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
2003Theory and applications of long-range dependence989 cited
2002Exact Local Whittle Estimation of Fractional \nIntegration518 cited
1999Gaussian Semiparametric Estimation of Non‐stationary Time Series337 cited
1999Alternative forms of fractional Brownian motion289 cited

Cited by

2019Lithium: Production and estimated consumption. Evidence of persistence102 cited
2016Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis95 cited
2009Estimators of long-memory: Fourier versus wavelets91 cited
2018A fractional cointegration var analysis of exchange rate dynamics46 cited
2009Two estimators of the long-run variance: Beyond short memory45 cited
2006A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS40 cited
2017Time-varying return-volatility relation in international stock markets40 cited
2019

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

39 cited

2019How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?39 cited

2013Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate32 cited

2018Is market fear persistent? A long-memory analysis30 cited

2014Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate29 cited

2015Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach29 cited

2019Long memory and data frequency in financial markets28 cited

2019A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques26 cited

2014Testing the M arshall– L erner Condition in K enya25 cited