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Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float
16 references·3 citing·29 second hop
Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float (2004)Fractional cointegration, low frequency d…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-Run Economic Relationships (1991)Long-Run Economic Relationshi…Seasonal integration and cointegration (1990)Seasonal integration and coin…Purchasing Power Parity in the Long Run (1990)Purchasing Power Parity in th…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The confusing time-series behaviour of real exchange rates: Are asymmetries important? (2008)The confusing time-series beh…Extended generalized purchasing power parity and optimum currency area in East Asian countries (2008)Extended generalized purchasi…Purchasing Power Parity as a long-term memory process: evidence from Canada (2006)Purchasing Power Parity as a …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Fractional Brownian Motions, Fractional Noises and Applications (1968)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)Bounds testing approaches to the analysis of level relationships (2001)Testing for a Unit Root (1993)Dynamic Econometrics (1995)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1990Seasonal integration and cointegration1,475 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1990Purchasing Power Parity in the Long Run

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808 cited
  • 1991Long-Run Economic Relationships760 cited
  • Cited by

    • 2008The confusing time-series behaviour of real exchange rates: Are asymmetries important?15 cited
    • 2006Purchasing Power Parity as a long-term memory process: evidence from Canada14 cited
    • 2008Extended generalized purchasing power parity and optimum currency area in East Asian countries12 cited