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Sources of seasonal fractional integration in macroeconomic time series ∗
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Sources of seasonal fractional integration in macroeconomic time series ∗ (2002)Sources of seasonal fractional integratio…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Long memory and regime switching (2001)Long memory and regime switch…Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…The relation between implied and realized volatility (1998)The relation between implied …Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Varieties of long memory models (1996)Varieties of long memory mode…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Seasonal integration and cointegration (1990)Seasonal integration and coin…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon (1978)Preservation of the rescaled …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Differencing (1981)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Book Review: Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Automatic Time Series Forecasting: The forecast Package for R (2008)Theory ahead of business-cycle measurement (1986)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (1999)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Co-Integration and Error-Correction: Representation, Estimation, and Testing (2008)DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)A long memory property of stock market returns and a new model (1993)Wavelet analysis of long-range-dependent traffic (1998)The Distribution of Realized Exchange Rate Volatility (2001)Volatility Is Rough (2018)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,412 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1996Statistics for Long-Memory Processes.2,708 cited
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  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,827 cited
  • 1990Seasonal integration and cointegration1,475 cited
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  • 2001Long memory and regime switching1,162 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1996Varieties of long memory models425 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

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399 cited
  • 1978Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon341 cited
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