Javier Hualde
Personal Details
First Name: | Javier |
Middle Name: | |
Last Name: | Hualde |
Suffix: | |
RePEc Short-ID: | phu337 |
[This author has chosen not to make the email address public] | |
http://www.econ.unavarra.es/jhualde | |
Affiliation
Departamento de Economía
Universidad Pública de Navarra
Pamplona, Spainhttp://www.unavarra.es/departamento-economia
RePEc:edi:deupnes (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Javier Hualde & Carlos Velasco, 2006.
"Distribution-free Tests of Fractional Cointegration,"
Faculty Working Papers
08/06, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier & Velasco, Carlos, 2008. "Distribution-Free Tests Of Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 24(1), pages 216-255, February.
- Javier Hualde & Peter Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," Faculty Working Papers 07/06, School of Economics and Business Administration, University of Navarra.
- Javier Hualde & A Robinson, 2006.
"Root-N-Consistent Estimation Of Weakfractional Cointegration,"
STICERD - Econometrics Paper Series
/06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, J. & Robinson, P.M., 2007. "Root-n-consistent estimation of weak fractional cointegration," Journal of Econometrics, Elsevier, vol. 140(2), pages 450-484, October.
- Javier Hualde, 2005.
"Unbalanced Cointegration,"
Faculty Working Papers
06/05, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
- Peter M. Robinson & Javier Hualde, 2002.
"Cointegration in Fractional Systems with Unknown Integration Orders,"
Faculty Working Papers
07/02, School of Economics and Business Administration, University of Navarra.
- P. M. Robinson & J. Hualde, 2003. "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
Articles
- Javier Hualde, 2012. "Weak convergence to a modified fractional Brownian motion," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(3), pages 519-529, May.
- Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
- Hualde, Javier & Velasco, Carlos, 2008.
"Distribution-Free Tests Of Fractional Cointegration,"
Econometric Theory, Cambridge University Press, vol. 24(1), pages 216-255, February.
- Javier Hualde & Carlos Velasco, 2006. "Distribution-free Tests of Fractional Cointegration," Faculty Working Papers 08/06, School of Economics and Business Administration, University of Navarra.
- Hualde, J. & Robinson, P.M., 2007.
"Root-n-consistent estimation of weak fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 140(2), pages 450-484, October.
- Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, Javier, 2006.
"Unbalanced Cointegration,"
Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
- Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
- P. M. Robinson & J. Hualde, 2003.
"Cointegration in Fractional Systems with Unknown Integration Orders,"
Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
- Peter M. Robinson & Javier Hualde, 2002. "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers 07/02, School of Economics and Business Administration, University of Navarra.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Javier Hualde & Carlos Velasco, 2006.
"Distribution-free Tests of Fractional Cointegration,"
Faculty Working Papers
08/06, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier & Velasco, Carlos, 2008. "Distribution-Free Tests Of Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 24(1), pages 216-255, February.
Cited by:
- Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2019.
"A Comparison of Semiparametric Tests for Fractional Cointegration,"
Hannover Economic Papers (HEP)
dp-651, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "A comparison of semiparametric tests for fractional cointegration," Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
- Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021.
"Integration and Disintegration of EMU Government Bond Markets,"
Econometrics, MDPI, vol. 9(1), pages 1-17, March.
- Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Federico Carlini & Paolo Santucci de Magistris, 2013.
"On the identification of fractionally cointegrated VAR models with the F(d) condition,"
CREATES Research Papers
2013-44, Department of Economics and Business Economics, Aarhus University.
- Paolo Santucci de Magistris & Federico Carlini, 2014. "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers 2014-43, Department of Economics and Business Economics, Aarhus University.
- Federico Carlini & Paolo Santucci de Magistris, 2019. "On the Identification of Fractionally Cointegrated VAR Models With the Condition," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 134-146, January.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Lasak, Katarzyna, 2010.
"Likelihood based testing for no fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
- Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
- Saidat Fehintola Olaniran & Oyebayo Ridwan Olaniran & Jeza Allohibi & Abdulmajeed Atiah Alharbi & Mohd Tahir Ismail, 2024. "A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects," Mathematics, MDPI, vol. 12(8), pages 1-11, April.
- Katarzyna Lasak & Carlos Velasco, 2014.
"Fractional Cointegration Rank Estimation,"
Tinbergen Institute Discussion Papers
14-021/III, Tinbergen Institute.
- Katarzyna Łasak & Carlos Velasco, 2015. "Fractional Cointegration Rank Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 241-254, April.
- Katarzyna Lasak & Carlos Velasco, 2013. "Fractional cointegration rank estimation," CREATES Research Papers 2013-08, Department of Economics and Business Economics, Aarhus University.
- Avarucci, M. & Velasco, C., 2008.
"A wald test for the cointegration rank in nonstationary fractional systems,"
Research Memorandum
049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Avarucci, Marco & Velasco, Carlos, 2009. "A Wald test for the cointegration rank in nonstationary fractional systems," Journal of Econometrics, Elsevier, vol. 151(2), pages 178-189, August.
- Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
- Hualde, Javier & Iacone, Fabrizio, 2017. "Revisiting inflation in the euro area allowing for long memory," Economics Letters, Elsevier, vol. 156(C), pages 145-150.
- Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.
- Javier Hualde & Peter Robinson, 2006.
"Semiparametric Estimation of Fractional Cointegration,"
Faculty Working Papers
07/06, School of Economics and Business Administration, University of Navarra.
Cited by:
- Afonso Gonçalves da Silva & Peter M Robinson, 2007.
"Fractional Cointegration In StochasticVolatility Models,"
STICERD - Econometrics Paper Series
519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gonçalves da Silva, Afonso & Robinson, Peter, 2007. "Fractional cointegration in stochastic volatility models," LSE Research Online Documents on Economics 4534, London School of Economics and Political Science, LSE Library.
- da Silva, Afonso Gonçalves & Robinson, Peter M., 2008. "Fractional Cointegration In Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1207-1253, October.
- Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
- Javier Hualde, 2005.
"Unbalanced Cointegration,"
Faculty Working Papers
06/05, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
- Afonso Gonçalves da Silva & Peter M Robinson, 2006.
"Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory,"
STICERD - Econometrics Paper Series
501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Afonso Goncalves da Silva & Peter Robinson, 2008. "Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 268-297.
- Morten Ø. Nielsen & Per Houmann Frederiksen, 2008. "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper 1171, Economics Department, Queen's University.
- Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
- Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series 525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Robinson, Peter M. & Gerolimetto, M., 2006.
"Instrumental variables estimation of stationary and nonstationary cointegrating regressions,"
LSE Research Online Documents on Economics
4539, London School of Economics and Political Science, LSE Library.
- M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series 500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- P. M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and non-stationary cointegrating regressions," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 291-306, July.
- Avarucci, M. & Velasco, C., 2008.
"A wald test for the cointegration rank in nonstationary fractional systems,"
Research Memorandum
049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Avarucci, Marco & Velasco, Carlos, 2009. "A Wald test for the cointegration rank in nonstationary fractional systems," Journal of Econometrics, Elsevier, vol. 151(2), pages 178-189, August.
- Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
- Robinson, Peter M., 2007. "Multiple local whittle estimation in stationary systems," LSE Research Online Documents on Economics 4436, London School of Economics and Political Science, LSE Library.
- Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.
- Afonso Gonçalves da Silva & Peter M Robinson, 2007.
"Fractional Cointegration In StochasticVolatility Models,"
STICERD - Econometrics Paper Series
519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Javier Hualde & A Robinson, 2006.
"Root-N-Consistent Estimation Of Weakfractional Cointegration,"
STICERD - Econometrics Paper Series
/06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, J. & Robinson, P.M., 2007. "Root-n-consistent estimation of weak fractional cointegration," Journal of Econometrics, Elsevier, vol. 140(2), pages 450-484, October.
Cited by:
- Nielsen, Morten Ørregaard, 2010.
"Nonparametric cointegration analysis of fractional systems with unknown integration orders,"
Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
- Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, Department of Economics and Business Economics, Aarhus University.
- Morten Ø. Nielsen, 2008. "Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders," Working Paper 1174, Economics Department, Queen's University.
- Marcel Aloy & Gilles de Truchis, 2012.
"Estimation and Testing for Fractional Cointegration,"
AMSE Working Papers
1215, Aix-Marseille School of Economics, France.
- Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," Working Papers halshs-00793206, HAL.
- Peter M Robinson, 2004. "The Distance between Rival Nonstationary Fractional Processes," STICERD - Econometrics Paper Series 468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- Hualde, Javier & Robinson, Peter M., 2003. "Cointegration in fractional systems with unkown integration orders," LSE Research Online Documents on Economics 58050, London School of Economics and Political Science, LSE Library.
- Marcel Aloy & Gilles Truchis, 2016.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities,"
Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
- Marcel Aloy & Gilles De Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01447864, HAL.
- Marcel Aloy & Gilles de Truchis, 2015. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01410660, HAL.
- Fabrizio Iacone & Peter M Robinson, 2004.
"Cointegration in Fractional Systems with Deterministic Trends,"
STICERD - Econometrics Paper Series
476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Iacone, Fabrizio & Robinson, Peter M., 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.
- Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
- Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
- Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
- Luis Gil-Alana, 2004. "The permanent income hypothesis: A new framework based on fractional integration and cointegration," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 10(3), pages 165-179, October.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde, 2005.
"Unbalanced Cointegration,"
Faculty Working Papers
06/05, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
- Gilles de Truchis & Benjamin Keddad, 2012.
"South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates,"
Working Papers
halshs-00793503, HAL.
- Gilles De Truchis & Benjamin Keddad, 2013. "Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates," Post-Print hal-01498261, HAL.
- de Truchis, Gilles & Keddad, Benjamin, 2013. "Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 394-412.
- Gilles de Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates," AMSE Working Papers 1229, Aix-Marseille School of Economics, France, revised 05 Nov 2012.
- Gilles de Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates," William Davidson Institute Working Papers Series wp1039, William Davidson Institute at the University of Michigan.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005.
"Fractional Cointegration And Aggregate Money Demand Functions,"
Economics and Finance Discussion Papers
05-01, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2005. "Fractional Cointegration And Aggregate Money Demand Functions," Manchester School, University of Manchester, vol. 73(6), pages 737-753, December.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Fractional Cointegration And Aggregate Money Demand Functions," Public Policy Discussion Papers 05-01, Economics and Finance Section, School of Social Sciences, Brunel University.
- Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(2), pages 95-116.
- Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
- Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
- Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
- Yaya, OaOluwa S & Vo, Xuan Vinh & Ogbonna, Ahamuefula E & Adewuyi, Adeolu O, 2020.
"Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR,"
MPRA Paper
102190, University Library of Munich, Germany, revised 02 Aug 2020.
- OlaOluwa S. Yaya & Xuan Vinh Vo & Ahamuefula E. Ogbonna & Adeolu O. Adewuyi, 2022. "Modelling cryptocurrency high–low prices using fractional cointegrating VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 489-505, January.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011.
"Fractional Integration and Cointegration in US Financial Time Series Data,"
Discussion Papers of DIW Berlin
1116, DIW Berlin, German Institute for Economic Research.
- Guglielmo Caporale & Luis Gil-Alana, 2014. "Fractional integration and cointegration in US financial time series data," Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
- Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012. "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers 12/12, School of Economics and Business Administration, University of Navarra.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo.
- Robinson, Peter M. & Hualde, Javier, 2003. "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics 2223, London School of Economics and Political Science, LSE Library.
- Robinson, Peter M., 2004. "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics 2282, London School of Economics and Political Science, LSE Library.
- Yunus Emre Ergemen, 2016. "System Estimation of Panel Data Models under Long-Range Dependence," CREATES Research Papers 2016-02, Department of Economics and Business Economics, Aarhus University.
- Robinson, Peter M. & Gerolimetto, M., 2006.
"Instrumental variables estimation of stationary and nonstationary cointegrating regressions,"
LSE Research Online Documents on Economics
4539, London School of Economics and Political Science, LSE Library.
- M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series 500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- P. M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and non-stationary cointegrating regressions," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 291-306, July.
- Luis A. Gil-Alana, 2003.
"Testing of Fractional Cointegration in Macroeconomic Time Series,"
Faculty Working Papers
09/03, School of Economics and Business Administration, University of Navarra.
- Gil-Alaña, Luis A., 2000. "Testing of fractional cointegration in macroeconomic time series," SFB 373 Discussion Papers 2000,105, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil‐Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
- Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
- Javier Hualde & Peter M Robinson, 2003. "Cointegration in Fractional Systems with Unkown Integration Orders," STICERD - Econometrics Paper Series 449, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
- Marcel Aloy & Gilles de Truchis, 2013.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems,"
AMSE Working Papers
1353, Aix-Marseille School of Economics, France, revised 29 Oct 2013.
- Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers halshs-00879522, HAL.
- de Truchis, Gilles, 2013.
"Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue,"
Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
- Gilles De Truchis, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01498262, HAL.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers 1220, Aix-Marseille School of Economics, France.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
- Goodness C. Aye & Hector Carcel & Luis A. Gil-Alana & Rangan Gupta, 2017.
"Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016,"
Working Papers
201753, University of Pretoria, Department of Economics.
- Aye, Goodness C. & Carcel, Hector & Gil-Alana, Luis A. & Gupta, Rangan, 2017. "Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016," Resources Policy, Elsevier, vol. 54(C), pages 53-57.
- Hualde, Javier & Robinson, Peter M., 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
- Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
- Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
- Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
- Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
- Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
- Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
- Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Luis A. Gil-Alana, 2004. "Fractional cointegration in the consumption and income relationship using semiparametric techniques," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-8.
- Javier Hualde, 2005.
"Unbalanced Cointegration,"
Faculty Working Papers
06/05, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
Cited by:
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017.
"On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
- Gilles de Truchis & Benjamin Keddad & Cyril Dell'Eva, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Post-Print hal-01635867, HAL.
- Morten Ørregaard Nielsen, 2008.
"A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic,"
CREATES Research Papers
2008-36, Department of Economics and Business Economics, Aarhus University.
- Nielsen, Morten Ørregaard, 2009. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1515-1544, December.
- Morten Ø. Nielsen, 2008. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Working Paper 1185, Economics Department, Queen's University.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Alimi, R. Santos, 2018. "Growth effect of government expenditures in West African countries: A nonlinear framework," MPRA Paper 99108, University Library of Munich, Germany, revised Mar 2019.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
- Nielsen, Morten, 2008.
"A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis,"
Working Papers
08-05, Cornell University, Center for Analytic Economics.
- Morten Ø. Nielsen, 2008. "A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis," Working Paper 1175, Economics Department, Queen's University.
- Fasoranti, Modupe Mary & Alimi, Rasaq Santos, 2017. "Government Size, Political Institutions and Output Growth in Nigeria," MPRA Paper 80562, University Library of Munich, Germany.
- Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
- Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
- Peter M. Robinson & Javier Hualde, 2002.
"Cointegration in Fractional Systems with Unknown Integration Orders,"
Faculty Working Papers
07/02, School of Economics and Business Administration, University of Navarra.
- P. M. Robinson & J. Hualde, 2003. "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
Cited by:
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013.
"Nonparametric Predictive Regression,"
CEPR Discussion Papers
9570, C.E.P.R. Discussion Papers.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics 14-2012, University of Cyprus Department of Economics.
- Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
- Nielsen, Morten Ørregaard, 2010.
"Nonparametric cointegration analysis of fractional systems with unknown integration orders,"
Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
- Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, Department of Economics and Business Economics, Aarhus University.
- Morten Ø. Nielsen, 2008. "Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders," Working Paper 1174, Economics Department, Queen's University.
- Marcel Aloy & Gilles de Truchis, 2012.
"Estimation and Testing for Fractional Cointegration,"
AMSE Working Papers
1215, Aix-Marseille School of Economics, France.
- Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," Working Papers halshs-00793206, HAL.
- Peter M Robinson, 2004. "The Distance between Rival Nonstationary Fractional Processes," STICERD - Econometrics Paper Series 468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- Hualde, Javier & Nielsen, Morten Ørregaard, 2020.
"Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends,"
Econometric Theory, Cambridge University Press, vol. 36(4), pages 751-772, August.
- Javier Hualde & Morten Ørregaard Nielsen, 2020. "Truncated sum of squares estimation of fractional time series models with deterministic trends," CREATES Research Papers 2020-07, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde & Morten Ø. Nielsen, 2019. "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Working Paper 1376, Economics Department, Queen's University.
- Gil-Alana, Luis A. & Moreno, Antonio, 2012.
"Uncovering the US term premium: An alternative route,"
Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
- Luis Gil-Alana & Antonio Moreno, 2007. "Uncovering the U.S. Term Premium: An Alternative Route," Faculty Working Papers 12/07, School of Economics and Business Administration, University of Navarra.
- Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016.
"Term Structure Persistence,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
- Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers 26/12, School of Economics and Business Administration, University of Navarra.
- Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021.
"Integration and Disintegration of EMU Government Bond Markets,"
Econometrics, MDPI, vol. 9(1), pages 1-17, March.
- Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Fabrizio Iacone & Peter M Robinson, 2004.
"Cointegration in Fractional Systems with Deterministic Trends,"
STICERD - Econometrics Paper Series
476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Iacone, Fabrizio & Robinson, Peter M., 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.
- Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
- Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007.
"Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
- Morten Ø. Nielsen & Katsumi Shimotsu, 2006. "Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach," Working Paper 1029, Economics Department, Queen's University.
- Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
- Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
- Javier Hualde & Morten Ørregaard Nielsen, 2022.
"Truncated sum-of-squares estimation of fractional time series models with generalized power law trend,"
Working Paper
1458, Economics Department, Queen's University.
- Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," CREATES Research Papers 2022-07, Department of Economics and Business Economics, Aarhus University.
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008.
"Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
- Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2007. "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," UC3M Working papers. Economics we20070625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Bent Jesper Christensen & Morten Ø. Nielsen, "undated".
"Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data,"
Economics Working Papers
2001-4, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006. "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July.
- Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020.
"Economic Policy Uncertainty: Persistence and Cross-Country Linkages,"
CESifo Working Paper Series
8289, CESifo.
- Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Benjamin M. Tabak, 2007. "Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(3), pages 231-246, November.
- Ulrich K. Müller & Mark W. Watson, 2018. "Long†Run Covariability," Econometrica, Econometric Society, vol. 86(3), pages 775-804, May.
- Javier Hualde, 2005.
"Unbalanced Cointegration,"
Faculty Working Papers
06/05, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
- Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004.
"Fractional cointegration and tests of present value models,"
Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
- Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, vol. 13(3), pages 245-258.
- Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers 2000,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Tobias Hartl & Roland Jucknewitz, 2022.
"Approximate state space modelling of unobserved fractional components,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
- Tobias Hartl & Roland Weigand, 2018. "Approximate State Space Modelling of Unobserved Fractional Components," Papers 1812.09142, arXiv.org, revised May 2020.
- Gokan, Toshitaka & Kichko, Sergey & Thisse, Jacques-François, 2020.
"How do trade and communication costs shape the spatial organization of firms?,"
LIDAM Reprints CORE
3109, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Thisse, Jacques-François & Gokan, Toshitaka & Kichko, Sergey, 2019. "How do trade and communication costs shape the spatial organization of firms?," CEPR Discussion Papers 14045, C.E.P.R. Discussion Papers.
- Gokan Toshitaka & Kichiko, Sergey & Thisse, Jacques-François, 2018. "How do trade and communication costs shape the spatial organization of firms?," IDE Discussion Papers 706, Institute of Developing Economies, Japan External Trade Organization(JETRO).
- Gokan, Toshitaka & Kichko, Sergey & Thisse, Jacques-François, 2019. "How do trade and communication costs shape the spatial organization of firms?," Journal of Urban Economics, Elsevier, vol. 113(C).
- Toshitaka Gokan & Sergey Kichko & Jacques-François Thisse, 2018. "How Do Trade and Communication Costs Shape the Spatial Organization Of Firms?," HSE Working papers WP BRP 191/EC/2018, National Research University Higher School of Economics.
- Toshitaka Gokan & Sergey Kichko & Jacques-Francois Thisse & Sergei Kichko, 2019. "How Do Trade and Communication Costs Shape the Spatial Organization of Firms?," CESifo Working Paper Series 7888, CESifo.
- Søren Johansen & Morten Ørregaard Nielsen, 2007.
"Likelihood inference for a nonstationary fractional autoregressive model,"
CREATES Research Papers
2007-33, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2010. "Likelihood inference for a nonstationary fractional autoregressive model," Journal of Econometrics, Elsevier, vol. 158(1), pages 51-66, September.
- Morten Ø. Nielsen & S Johansen, 2009. "Likelihood Inference For A Nonstationary Fractional Autoregressive Model," Working Paper 1172, Economics Department, Queen's University.
- Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
- Christian Fischer & Luis Gil-Alana, 2009.
"The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine,"
Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
- Fischer, Christian & Gil-Alana, Luis A., 2007. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Discussion Papers 57033, University of Bonn, Institute for Food and Resource Economics.
- Fischer, Christian & Gil-Alana, Luis A., 2006. "The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25341, International Association of Agricultural Economists.
- Fischer, Christian & Gil-Alana, Luis A., 2006. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," 98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece 10049, European Association of Agricultural Economists.
- Tobias Hartl & Roland Weigand, 2018.
"Multivariate Fractional Components Analysis,"
Papers
1812.09149, arXiv.org, revised Jan 2019.
- Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
- Javier Hualde & A Robinson, 2006.
"Root-N-Consistent Estimation Of Weakfractional Cointegration,"
STICERD - Econometrics Paper Series
/06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, J. & Robinson, P.M., 2007. "Root-n-consistent estimation of weak fractional cointegration," Journal of Econometrics, Elsevier, vol. 140(2), pages 450-484, October.
- Müller, Ulrich K. & Watson, Mark W., 2013.
"Low-frequency robust cointegration testing,"
Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
- Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
- Søren Johansen, 2010.
"An Extension of Cointegration to Fractional Autoregressive Processes,"
Discussion Papers
10-28, University of Copenhagen. Department of Economics.
- Søren Johansen, 2011. "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers 2011-06, Department of Economics and Business Economics, Aarhus University.
- Hurvich, Cliiford & Wang, Yi, 2006.
"A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects,"
MPRA Paper
1413, University Library of Munich, Germany.
- Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany.
- Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
- Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
- Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
- Arintoko, 2011. "Exchange rate pass-through, import prices and inflation under structural breaks," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(1), pages 55-75, April.
- Ergemen, Yunus Emre & Velasco, Carlos, 2017.
"Estimation of fractionally integrated panels with fixed effects and cross-section dependence,"
Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
- Yunus Emre Ergemen & Carlos Velasco, 2015. "Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence," CREATES Research Papers 2015-35, Department of Economics and Business Economics, Aarhus University.
- Lasak, Katarzyna, 2010.
"Likelihood based testing for no fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
- Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp, 2013.
"A unified framework for testing in the linear regression model under unknown order of fractional integration,"
Hannover Economic Papers (HEP)
dp-519, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," CREATES Research Papers 2013-35, Department of Economics and Business Economics, Aarhus University.
- Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
- Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
- J. Cunado & L.A. Gil-Alana & F. Perez De Gracia, 2007.
"Real convergence in some emerging countries : a fractionally integrated approach,"
Discussion Papers (REL - Recherches Economiques de Louvain)
2007034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Juncal Cuñado & L.A. Gil-Alana & F. Pérez de Gracia, 2007. "Real convergence in some emerging countries: a fractionally integrated approach," Recherches économiques de Louvain, De Boeck Université, vol. 73(3), pages 293-310.
- Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014.
"The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration,"
Energy Economics, Elsevier, vol. 46(C), pages 328-333.
- Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2014. "The Relationship Between Oil Prices and the Nigerian Stock Market, an Analysis Based on Fractional Integration and Cointegration," NCID Working Papers 04/2014, Navarra Center for International Development, University of Navarra.
- Gil-Alana, L.A., 2005. "A re-examination of historical real daily wages in England: 1260-1994," Journal of Policy Modeling, Elsevier, vol. 27(7), pages 829-838, October.
- Yaya, OaOluwa S & Vo, Xuan Vinh & Ogbonna, Ahamuefula E & Adewuyi, Adeolu O, 2020.
"Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR,"
MPRA Paper
102190, University Library of Munich, Germany, revised 02 Aug 2020.
- OlaOluwa S. Yaya & Xuan Vinh Vo & Ahamuefula E. Ogbonna & Adeolu O. Adewuyi, 2022. "Modelling cryptocurrency high–low prices using fractional cointegrating VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 489-505, January.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011.
"Fractional Integration and Cointegration in US Financial Time Series Data,"
Discussion Papers of DIW Berlin
1116, DIW Berlin, German Institute for Economic Research.
- Guglielmo Caporale & Luis Gil-Alana, 2014. "Fractional integration and cointegration in US financial time series data," Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
- Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012. "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers 12/12, School of Economics and Business Administration, University of Navarra.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo.
- Torben G. Andersen & Rasmus T. Varneskov, 2021.
"Consistent Inference for Predictive Regressions in Persistent Economic Systems,"
NBER Working Papers
28568, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
- Federico Carlini & Katarzyna (K.A.) Lasak, 2018. "Likelihood based inference for an Identifiable Fractional Vector Error Correction Model," Tinbergen Institute Discussion Papers 18-085/III, Tinbergen Institute.
- Robinson, Peter M., 2004. "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics 2282, London School of Economics and Political Science, LSE Library.
- Yunus Emre Ergemen, 2016. "System Estimation of Panel Data Models under Long-Range Dependence," CREATES Research Papers 2016-02, Department of Economics and Business Economics, Aarhus University.
- Robinson, Peter M. & Gerolimetto, M., 2006.
"Instrumental variables estimation of stationary and nonstationary cointegrating regressions,"
LSE Research Online Documents on Economics
4539, London School of Economics and Political Science, LSE Library.
- M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series 500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- P. M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and non-stationary cointegrating regressions," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 291-306, July.
- Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011.
"An analysis of oil production by OPEC countries: Persistence, breaks, and outliers,"
Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
- Carlos Pestana Barros & Luis A. Gil-Alana & James E. Payne, 2011. "An Analysis of Oil Production by OPEC Countries: Persistence, Breaks, and Outliers," Faculty Working Papers 01/11, School of Economics and Business Administration, University of Navarra.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series 10084, CESifo.
- Luis A. Gil-Alana, 2003.
"Testing of Fractional Cointegration in Macroeconomic Time Series,"
Faculty Working Papers
09/03, School of Economics and Business Administration, University of Navarra.
- Gil-Alaña, Luis A., 2000. "Testing of fractional cointegration in macroeconomic time series," SFB 373 Discussion Papers 2000,105, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil‐Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
- Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
- Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
- Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
- Marcel Aloy & Gilles de Truchis, 2013.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems,"
AMSE Working Papers
1353, Aix-Marseille School of Economics, France, revised 29 Oct 2013.
- Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers halshs-00879522, HAL.
- Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020. "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers 2006.12595, arXiv.org.
- Katarzyna Lasak & Carlos Velasco, 2014.
"Fractional Cointegration Rank Estimation,"
Tinbergen Institute Discussion Papers
14-021/III, Tinbergen Institute.
- Katarzyna Łasak & Carlos Velasco, 2015. "Fractional Cointegration Rank Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 241-254, April.
- Katarzyna Lasak & Carlos Velasco, 2013. "Fractional cointegration rank estimation," CREATES Research Papers 2013-08, Department of Economics and Business Economics, Aarhus University.
- de Truchis, Gilles, 2013.
"Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue,"
Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
- Gilles De Truchis, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01498262, HAL.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers 1220, Aix-Marseille School of Economics, France.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
- Goodness C. Aye & Hector Carcel & Luis A. Gil-Alana & Rangan Gupta, 2017.
"Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016,"
Working Papers
201753, University of Pretoria, Department of Economics.
- Aye, Goodness C. & Carcel, Hector & Gil-Alana, Luis A. & Gupta, Rangan, 2017. "Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016," Resources Policy, Elsevier, vol. 54(C), pages 53-57.
- Hualde, Javier & Robinson, Peter M., 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
- Stefan Norrbin & Aaron Smallwood, 2010. "Generalized long memory and mean reversion of the real exchange rate," Applied Economics, Taylor & Francis Journals, vol. 42(11), pages 1377-1386.
- Avarucci, M. & Velasco, C., 2008.
"A wald test for the cointegration rank in nonstationary fractional systems,"
Research Memorandum
049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Avarucci, Marco & Velasco, Carlos, 2009. "A Wald test for the cointegration rank in nonstationary fractional systems," Journal of Econometrics, Elsevier, vol. 151(2), pages 178-189, August.
- Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.
- Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
- Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
- Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
- Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
- Ignacio N Lobato & Carlos Velasco, 2007.
"Efficient Wald Tests for Fractional Unit Roots,"
Econometrica, Econometric Society, vol. 75(2), pages 575-589, March.
- Lobato, Ignacio N. & Velasco, Carlos, 2005. "Efficient wald tests for fractional unit roots," UC3M Working papers. Economics we056935, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
- Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
- Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
- Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
- Avarucci, Marco & Marinucci, Domenico, 2005. "Polynomial cointegration among stationary processes with long memory," UC3M Working papers. Economics we055123, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
- Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
- Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
- Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Luis A. Gil-Alana, 2004. "Fractional cointegration in the consumption and income relationship using semiparametric techniques," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-8.
Articles
- Javier Hualde, 2012.
"Weak convergence to a modified fractional Brownian motion,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 33(3), pages 519-529, May.
Cited by:
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- S{o}ren Johansen & Morten {O}rregaard Nielsen, 2022. "Weak convergence to derivatives of fractional Brownian motion," Papers 2208.02516, arXiv.org, revised Oct 2022.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
- Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
- Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
- Hualde, J. & Robinson, P.M., 2010.
"Semiparametric inference in multivariate fractionally cointegrated systems,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
Cited by:
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013.
"Nonparametric Predictive Regression,"
CEPR Discussion Papers
9570, C.E.P.R. Discussion Papers.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics 14-2012, University of Cyprus Department of Economics.
- Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
- Marcel Aloy & Gilles Truchis, 2016.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities,"
Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
- Marcel Aloy & Gilles De Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01447864, HAL.
- Marcel Aloy & Gilles de Truchis, 2015. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01410660, HAL.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
- Alexander Boca Saravia & Gabriel Rodríguez, 2022.
"Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR,"
Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
- Alexander Boca Saravia & Gabriel Rodríguez, 2019. "Presidential Approval in Peru: An Empirical Analysis Using a Fractionally Cointegrated VAR," Documentos de Trabajo / Working Papers 2019-480, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Tobias Hartl & Roland Jucknewitz, 2022.
"Approximate state space modelling of unobserved fractional components,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
- Tobias Hartl & Roland Weigand, 2018. "Approximate State Space Modelling of Unobserved Fractional Components," Papers 1812.09142, arXiv.org, revised May 2020.
- Tobias Hartl & Roland Weigand, 2018.
"Multivariate Fractional Components Analysis,"
Papers
1812.09149, arXiv.org, revised Jan 2019.
- Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
- Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.
- Søren Johansen, 2010.
"An Extension of Cointegration to Fractional Autoregressive Processes,"
Discussion Papers
10-28, University of Copenhagen. Department of Economics.
- Søren Johansen, 2011. "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers 2011-06, Department of Economics and Business Economics, Aarhus University.
- Pérez-Rodríguez, Jorge V. & Andrada-Félix, Julián & Rachinger, Heiko, 2021. "Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Tu, Yundong & Yao, Qiwei & Zhang, Rongmao, 2020. "Error-correction factor models for high-dimensional cointegrated time series," LSE Research Online Documents on Economics 106994, London School of Economics and Political Science, LSE Library.
- Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011.
"On the Predictability of Stock Prices: A Case for High and Low Prices,"
"Marco Fanno" Working Papers
0136, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
- Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
- Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
- Torben G. Andersen & Rasmus T. Varneskov, 2021.
"Consistent Inference for Predictive Regressions in Persistent Economic Systems,"
NBER Working Papers
28568, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
- Javier García-Enríquez & Josu Arteche & Arantza Murillas-Maza, 2017. "Testing for substitutability in the mackerel market: a new method using fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 49(39), pages 3912-3926, August.
- Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
- Dungey, Mardi & Harvey, John & Siklos, Pierre & Volkov, Vladimir, 2017.
"Signed spillover effects building on historical decompositions,"
Working Papers
2017-11, University of Tasmania, Tasmanian School of Business and Economics.
- Mardi Dungey & John Harvey & Pierre Siklos & Vladimir Volkov, 2017. "Signed spillover effects building on historical decompositions," CAMA Working Papers 2017-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Marcel Aloy & Gilles de Truchis, 2013.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems,"
AMSE Working Papers
1353, Aix-Marseille School of Economics, France, revised 29 Oct 2013.
- Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers halshs-00879522, HAL.
- Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020. "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers 2006.12595, arXiv.org.
- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
- Moses Kangogo & Mardi Dungey & Vladimir Volkov, 2023. "Changing vulnerability in Asia: contagion and spillovers," Empirical Economics, Springer, vol. 64(5), pages 2315-2355, May.
- Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
- Javier Hualde & Fabrizio Iacone, 2015. "Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 528-540, July.
- García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
- Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
- Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.
- Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013.
"Nonparametric Predictive Regression,"
CEPR Discussion Papers
9570, C.E.P.R. Discussion Papers.
- Hualde, Javier & Velasco, Carlos, 2008.
"Distribution-Free Tests Of Fractional Cointegration,"
Econometric Theory, Cambridge University Press, vol. 24(1), pages 216-255, February.
See citations under working paper version above.
- Javier Hualde & Carlos Velasco, 2006. "Distribution-free Tests of Fractional Cointegration," Faculty Working Papers 08/06, School of Economics and Business Administration, University of Navarra.
- Hualde, J. & Robinson, P.M., 2007.
"Root-n-consistent estimation of weak fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 140(2), pages 450-484, October.
See citations under working paper version above.
- Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, Javier, 2006.
"Unbalanced Cointegration,"
Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
See citations under working paper version above.
- Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
- P. M. Robinson & J. Hualde, 2003.
"Cointegration in Fractional Systems with Unknown Integration Orders,"
Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
See citations under working paper version above.
- Peter M. Robinson & Javier Hualde, 2002. "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers 07/02, School of Economics and Business Administration, University of Navarra.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (3) 2005-06-05 2006-07-02 2006-07-02
- NEP-ETS: Econometric Time Series (3) 2005-06-05 2006-07-02 2006-07-02
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