Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
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DOI: 10.1080/07474938.2012.690663
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- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
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- 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.
- Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
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- 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.
- Chen, Yong & Eaton, Gregory W. & Paye, Bradley S., 2018. "Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity," Journal of Financial Economics, Elsevier, vol. 130(1), pages 48-73.
- Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017.
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Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
- Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
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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.
- Aistis Raudys & Edvinas Goldstein, 2022. "Forecasting Detrended Volatility Risk and Financial Price Series Using LSTM Neural Networks and XGBoost Regressor," JRFM, MDPI, vol. 15(12), pages 1-12, December.
- Narayan, Seema & Smyth, Russell, 2015.
"The financial econometrics of price discovery and predictability,"
International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
- Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
- Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je & Gau, Yin-Feng, 2022. "Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 384-401.
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
- Robin Dee & Armin Fügenschuh & George Kaimakamis, 2021. "The Unit Re-Balancing Problem," Mathematics, MDPI, vol. 9(24), pages 1-19, December.
- Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
- Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011. "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers 2011-51, Department of Economics and Business Economics, Aarhus University.
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