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Multiple local whittle estimation in stationary systems
16 references·4 citing·33 second hop
Multiple local whittle estimation in stationary systems (2008)Multiple local whittle estimation in stat…A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008)A REPRESENTATION THEORY FOR A…Estimating Long Memory in Volatility (2005)Estimating Long Memory in Vol…Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (2005)Asymptotic normality of narro…Semiparametric Frequency Domain Analysis of Fractional Cointegration (2003)Semiparametric Frequency Doma…Exact Local Whittle Estimation of Fractional \nIntegration (2002)Exact Local Whittle Estimatio…Gaussian estimation of parametric spectral density with unknown\n\t\t\t pole (2001)Gaussian estimation of parame…Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series (1999)Plug‐in Selection of the Numb…Narrow-Band Analysis Of Nonstationary Processes (1999)Narrow-Band Analysis Of Nonst…Gaussian Semiparametric Estimation of Non‐stationary Time Series (1999)Gaussian Semiparametric Estim…A semiparametric two-step estimator in a multivariate long memory model (1999)A semiparametric two-step est…A limit theory for long-range dependence and statistical inference on related models (1997)A limit theory for long-range…Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range Dependence (1996)Bandwidth Choice in Gaussian …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…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19 (2022)Long memory in the high frequ…Fractional cointegration between gold price and inflation rate: Implication for inflation rate persistence (2021)Fractional cointegration betw…A multivariate test against spurious long memory (2017)A multivariate test against s…Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates (2013)Southeast Asian monetary inte…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Semiparametric fractional cointegration analysis (2001)Long Memory and the Relation Between Implied and Realized Volatility (2006)Fractional Differencing (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood inference for a nonstationary fractional autoregressive model (2010)Term Structure Persistence (2015)The impact of geopolitical risk on the behavior of oil prices and freight rates (2023)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Some long‐run properties of geophysical records (1969)Forecasting with k‐factor Gegenbauer Processes: Theory and Applications (2001)Nonlinearities and Fractional Integration in the US Unemployment Rate* (2007)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling and pricing long memory in stock market volatility (1996)Nonstationarity-extended local Whittle estimation (2007)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)Band Spectral Regression with Trending Data (2002)Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016 (2017)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Determination of cointegrating rank in fractional systems (2002)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Oil price shocks and agricultural commodity prices (2014)Persistence in the cryptocurrency market (2018)The detection and estimation of long memory in stochastic volatility (1998)Estimation and interpretation of 1/fα noise in human cognition (2004)
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98 cited
  • 1999Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series94 cited
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    • 2022Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-1921 cited
    • 2017A multivariate test against spurious long memory21 cited
    • 2013Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates17 cited
    • 2021Fractional cointegration between gold price and inflation rate: Implication for inflation rate persistence16 cited