An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series
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DOI: 10.1111/1467-9892.00179
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Cited by:
- Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
- Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005.
"Estimating Long Memory in Volatility,"
Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, July.
- Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, University Library of Munich, Germany.
- Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
- 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.
- 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.
- Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, University Library of Munich, Germany.
- Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
- Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
- Guillermo Ferreira & Jorge Mateu & Jose A. Vilar & Joel Muñoz, 2021. "Bootstrapping regression models with locally stationary disturbances," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 341-363, June.
- Gannaz, Irène, 2023. "Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 485-534.
- Saeed Heravi & Kerry Patterson, 2005. "Optimal And Adaptive Semi‐Parametric Narrowband And Broadband And Maximum Likelihood Estimation Of The Long‐Memory Parameter For Real Exchange Rates," Manchester School, University of Manchester, vol. 73(2), pages 165-213, March.
- Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Carlos Velasco, 2003. "Gaussian Semi‐parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, May.
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