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• 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
• 2005Persistence characteristics of Latin American financial markets57 cited
• 2010Semiparametric inference in multivariate fractionally cointegrated systems55 cited
• 2007Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns47 cited
• 2008Econometric estimation in long-range dependent volatility models: Theory and practice44 cited
• 2008Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity40 cited
• 2007Multivariate modelling of long memory processes with common components38 cited
• 2007What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks37 cited
• 2013Benoît Mandelbrot and Fractional Brownian Motion34 cited
• 2009The effect of long-range dependence on modelling extremes with the generalised extreme value distribution