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Weak convergence of multivariate fractional processes

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References

1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
1979Convergence of integrated processes of arbitrary Hermite rank566 cited
1999Alternative forms of fractional Brownian motion289 cited

Cited by

1999Narrow-Band Analysis Of Nonstationary Processes107 cited
2008Type I and type II fractional Brownian motions: A reconsideration97 cited
2006Simple (but effective) tests of long memory versus structural breaks76 cited
2003ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS66 cited
2015THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS66 cited
2002Dynamic models of long-memory processes driven by Lévy noise63 cited
2004The distance between rival nonstationary fractional processes63 cited
2015Instrumental variable and variable addition based inference in predictive regressions57 cited
2018Identifying Cointegration by Eigenanalysis51 cited
2010Basic properties of the Multivariate Fractional Brownian Motion46 cited
2004

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Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics

36 cited

2009Detecting changes from short to long memory35 cited

2010Likelihood based testing for no fractional cointegration27 cited

2004Cointegration in fractional systems with deterministic trends27 cited

2006A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION24 cited

2004Asymptotic inference results for multivariate long‐memory processes24 cited