Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.)
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- 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.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo.
- 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," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
- 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.
- Nielsen, Morten Ørregaard & Frederiksen, Per, 2008.
"Finite sample accuracy and choice of sampling frequency in integrated volatility estimation,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
- Morten Ø. Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Accuracy Of Integrated Volatility Estimators," Working Paper 1225, Economics Department, Queen's University.
- Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005.
"Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration,"
Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
- Morten Ø. Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration," Working Paper 1189, Economics Department, Queen's University.
- 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.
- 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.
- Seong Yeon Chang & Pierre Perron, 2016.
"Inference on a Structural Break in Trend with Fractionally Integrated Errors,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 555-574, July.
- Seongyeon Chang & Pierre Perron, 2013. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series 2013-020, Boston University - Department of Economics.
- Seong Yeon Chang & Pierre Perron, 2014. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series wp2015-011, Boston University - Department of Economics, revised 20 Sep 2015.
- Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
- 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.
- Martins, Luis F. & Rodrigues, Paulo M.M., 2014.
"Testing for persistence change in fractionally integrated models: An application to world inflation rates,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
- Paulo M.M. Rodrigues & Luis F. Martins, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.
- 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. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
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Keywords
Frational Brownian motion; nonstationary time series; long-range dependence;All these keywords.
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