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Local Whittle Estimation in Nonstationary and Unit Root Cases
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Cited by:
- J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
- 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.
- Phillips, Peter C.B., 2005.
"Challenges of trending time series econometrics,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 401-416.
- Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation for Research in Economics, Yale University.
- Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008.
"A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t,"
Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.
- Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A simple fractionally integrated model with a time-varying long memory parameter dt," Post-Print halshs-00390136, HAL.
- repec:hum:wpaper:sfb649dp2007-027 is not listed on IDEAS
- Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011.
"Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?,"
Economic Modelling, Elsevier, vol. 28(3), pages 1279-1290, May.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
- Cuestas, Juan C. & Gil-Alana, Luís A., 2009.
"Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes,"
Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
- Juan Carlos Cuestas & Luís A. Gil-Alana, 2009. "Further evidence on the PPP analysis of the Australian dollar: non-linearities, fractional integration and structural changes," NBS Discussion Papers in Economics 2009/3, Economics, Nottingham Business School, Nottingham Trent University.
- Luis A. Gil-Alana & Juan C. Cuesta, 2009. "Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change," Faculty Working Papers 07/09, School of Economics and Business Administration, University of Navarra.
- Guglielmo Maria Caporale & Luis Gil-Alana, 2012.
"Long Memory and Volatility Dynamics in the US Dollar Exchange Rate,"
Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 105-136, March - J.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Discussion Papers of DIW Berlin 975, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Faculty Working Papers 04/11, School of Economics and Business Administration, University of Navarra.
- Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2007.
"Estimation of fractional integration in the presence of data noise,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
- Haldrup, Niels & Nielsen, Morten Oe., "undated". "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, Department of Economics and Business Economics, Aarhus University.
- Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005.
"Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development,"
Journal of Banking & Finance, Elsevier, vol. 29(4), pages 827-851, April.
- T. Di Matteo & T. Aste & M. M. Dacorogna, 2004. "Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development," Papers cond-mat/0403681, arXiv.org.
- T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, University Library of Munich, Germany.
- Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- 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., 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., 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," 98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece 10049, European Association of Agricultural Economists.
- Härdle, Wolfgang Karl & Mungo, Julius, 2008. "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers 2008-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
- Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, Department of Economics and Business Economics, Aarhus University.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015.
"U.S. Disposable Personal Income and a Housing Price Index: A Fractional Integration Analysis,"
Journal of Housing Research, Taylor & Francis Journals, vol. 24(1), pages 73-86, January.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," CESifo Working Paper Series 3208, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," Faculty Working Papers 03/11, School of Economics and Business Administration, University of Navarra.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," Discussion Papers of DIW Berlin 1070, DIW Berlin, German Institute for Economic Research.
- Shimotsu, Katsumi, 2003. "Gaussian semiparametric estimation of multivariate fractionally integrated processes," Economics Discussion Papers 8870, University of Essex, Department of Economics.
- Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
- Shimotsu, Katsumi, 2007.
"Gaussian semiparametric estimation of multivariate fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 137(2), pages 277-310, April.
- Katsumi Shimotsu, 2006. "Gaussian Semiparametric Estimation Of Multivariate Fractionally Integrated Processes," Working Paper 1062, Economics Department, Queen's University.
- Francis Ahking, 2010.
"Non-parametric tests of real exchange rates in the post-Bretton Woods era,"
Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
- Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics.
- Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
- Henryk GURGUL & Tomasz WÓJTOWICZ, 2006. "Long Memory on the German Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 447-468, September.
- Ling Hu & Peter C.B. Phillips, 2002. "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Cowles Foundation Discussion Papers 1365, Cowles Foundation for Research in Economics, Yale University.
- Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation for Research in Economics, Yale University.
- Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012.
"Comparaison of Several Estimation Procedures for Long Term Behavior,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00673934, HAL.
- Dominique Guegan & Zhiping Lu & BeiJia Zhu, 2012. "Comparaison of several estimation procedures for long term behavior," Documents de travail du Centre d'Economie de la Sorbonne 12008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Luis A. Gil-Alana & Yun Cao, 2011. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers 12/11, School of Economics and Business Administration, University of Navarra.
- Guglielmo Caporale & Luis Gil-Alana, 2013.
"Long memory in US real output per capita,"
Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series 2671, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
- Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
- Shimotsu, Katsumi, 2010.
"Exact Local Whittle Estimation Of Fractional Integration With Unknown Mean And Time Trend,"
Econometric Theory, Cambridge University Press, vol. 26(2), pages 501-540, April.
- Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Paper 1061, Economics Department, Queen's University.
- repec:hum:wpaper:sfb649dp2008-006 is not listed on IDEAS
- 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.
- Shimotsu, Katsumi & Phillips, Peter C.B., 2006. "Local Whittle estimation of fractional integration and some of its variants," Journal of Econometrics, Elsevier, vol. 130(2), pages 209-233, February.