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Exact local Whittle estimation of fractionally cointegrated systems
16 references·1 citing·23 second hop
Exact local Whittle estimation of fractionally cointegrated systems (2012)Exact local Whittle estimation of fractio…EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)EXACT LOCAL WHITTLE ESTIMATIO…A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008)A REPRESENTATION THEORY FOR A…Exact Local Whittle Estimation of Fractional \nIntegration (2002)Exact Local Whittle Estimatio…Determination of cointegrating rank in fractional systems (2002)Determination of cointegratin…Semiparametric fractional cointegration analysis (2001)Semiparametric fractional coi…Labor Productivity: Structural Change and Cyclical Dynamics (2001)Labor Productivity: Structura…Long Memory in Stock-Market Trading Volume (2000)Long Memory in Stock-Market T…Gaussian Semiparametric Estimation of Non‐stationary Time Series (1999)Gaussian Semiparametric Estim…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Semiparametric Analysis of Long-Memory Time Series (1994)Semiparametric Analysis of Lo…Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994)Cointegration, Fractional Coi…A Fractional Cointegration Analysis of Purchasing Power Parity (1993)A Fractional Cointegration An…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Are natural resources a blessing or a curse for financial development in Pakistan? The importance of oil prices, economic growth and economic globalization (2020)Are natural resources a bless…Book Review: Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Bounds testing approaches to the analysis of level relationships (2001)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Long memory processes and fractional integration in econometrics (1996)Fractional Brownian Motions, Fractional Noises and Applications (1968)Continuous Martingales and Brownian Motion (1999)The Distribution of Realized Exchange Rate Volatility (2001)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Tests for Hurst Effect (1987)Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Social Capital and the Dynamics of Trust in Government (2007)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling and pricing long memory in stock market volatility (1996)Persistence in the cryptocurrency market (2018)Statistical analysis of cointegration vectors (1988)Financial Development and Economic Growth: The Role of Stock Markets (2001)Change Detection and the Causal Impact of the Yield Curve (2018)The volatility of Bitcoin and its role as a medium of exchange and a store of value (2021)
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References

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181 cited
  • 2001Semiparametric fractional cointegration analysis164 cited
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    • 2020Are natural resources a blessing or a curse for financial development in Pakistan? The importance of oil prices, economic growth and economic globalization180 cited