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Statistical inference for a random coefficient autoregressive model
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  • 2015Term Structure Persistence86 cited
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  • 2011Uncovering the US term premium: An alternative route78 cited
  • 2004Generating schemes for long memory processes: regimes, aggregation and linearity78 cited
  • 2004Modelling international monthly arrivals using seasonal univariate long-memory processes74 cited
  • 2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration74 cited
  • 2011Sectoral Phillips curves and the aggregate Phillips curve63 cited
  • 2005Fractional integration in daily stock market indexes57 cited
  • 2006Aggregation and memory of models of changing volatility54 cited

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  • 2006Further Evidence on the Statistical Properties of Real GNP*47 cited
  • 2008Tourism in the Canary Islands: forecasting using several seasonal time series models47 cited