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• 2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity84 cited
• 2017Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 201679 cited
• 2010Simultaneous estimation of the parameters of the Hurst–Kolmogorov stochastic process69 cited
• 2006Estimation of fractional integration in the presence of data noise65 cited
• 2011A simple test of changes in mean in the possible presence of long-range dependence64 cited
• 2011Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S.58 cited
• 2010Semiparametric inference in multivariate fractionally cointegrated systems55 cited
• 2018A fractional cointegration var analysis of exchange rate dynamics46 cited
• 2007Multivariate modelling of long memory processes with common components38 cited
• 2009Persistence in some energy futures markets36 cited
• 2008Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens35 cited
• 2013Benoît Mandelbrot and Fractional Brownian Motion34 cited
• 2009The effect of long-range dependence on modelling extremes with the generalised extreme value distribution33 cited