SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
16 references·8 citing·34 second hop
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008)Representation of Cointegrated Autoregres…A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008)A REPRESENTATION THEORY FOR A…Inference on the cointegration rank in fractionally integrated processes (2002)Inference on the cointegratio…Likelihood analysis of seasonal cointegration (1999)Likelihood analysis of season…Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger (1999)Cointegration, causality, and…Cointegration rank inference with stationary regressors in VAR models (1999)Cointegration rank inference …Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates (1998)Maximum-Likelihood Estimation…On the determination of integration indices in I(2) systems (1996)On the determination of integ…Maximum likelihood inference on cointegration and seasonal cointegration (1992)Maximum likelihood inference …Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…A Representation of Vector Autoregressive Processes Integrated of Order 2 (1992)A Representation of Vector Au…Cointegrated Economic Time Series: An Overview with New Results (1991)Cointegrated Economic Time Se…Seasonal integration and cointegration (1990)Seasonal integration and coin…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Co-movement dynamics between global sukuk and bond markets (2019)Co-movement dynamics between …Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics (2018)Downside risk and stock retur…A general inversion theorem for cointegration (2018)A general inversion theorem f…An asymptotic invariance property of the common trends under linear transformations of the data (2013)An asymptotic invariance prop…Likelihood based testing for no fractional cointegration (2010)Likelihood based testing for …A characterization of vector autoregressive processes with common cyclical features (2010)A characterization of vector …The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely (2009)The Long Swings Puzzle: What …Cointegration: Overview and Development (2009)Cointegration: Overview and D…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)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)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)On the limitations of comparing mean square forecast errors (1993)Explaining Cointegration Analysis: Part 1 (2000)Modelling Nonlinear Economic Time Series (2010)Statistical analysis of cointegration vectors (1988)The Japanese consumption function (1993)Forecast combining with neural networks (1996)Periodic Time Series Models (2004)Fractional Brownian Motions, Fractional Noises and Applications (1968)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)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)The detection and estimation of long memory in stochastic volatility (1998)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model (2017)Multiple local whittle estimation in stationary systems (2008)Likelihood inference for a nonstationary fractional autoregressive model (2010)The impact of geopolitical risk on the behavior of oil prices and freight rates (2023)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)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
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1981Fractional Differencing2,720 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1990Seasonal integration and cointegration1,475 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1992A Representation of Vector Autoregressive Processes Integrated of Order 2331 cited
  • 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger313 cited
  • 2008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES249 cited
  • 1992Maximum likelihood inference on cointegration and seasonal cointegration196 cited
  • 1999Likelihood analysis of seasonal cointegration161 cited
  • 1996On the determination of integration indices in I(2) systems147 cited
  • 1991Cointegrated Economic Time Series: An Overview with New Results132 cited
  • 1998Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates113 cited
  • 2002

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

Inference on the cointegration rank in fractionally integrated processes
113 cited
  • 1999Cointegration rank inference with stationary regressors in VAR models105 cited
  • Cited by

    • 2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics43 cited
    • 2009Cointegration: Overview and Development42 cited
    • 2019Co-movement dynamics between global sukuk and bond markets34 cited
    • 2010Likelihood based testing for no fractional cointegration27 cited
    • 2010A characterization of vector autoregressive processes with common cyclical features19 cited
    • 2009The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely17 cited
    • 2013An asymptotic invariance property of the common trends under linear transformations of the data15 cited
    • 2018A general inversion theorem for cointegration15 cited