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Estimation of fractional integration in the presence of data noise
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Cited by:
- Per Frederiksen & Morten Orregaard Nielsen, 2008.
"Bias-Reduced Estimation of Long-Memory Stochastic Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
- Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, Department of Economics and Business Economics, Aarhus University.
- Charles, Amélie & Darné, Olivier, 2014.
"Volatility persistence in crude oil markets,"
Energy Policy, Elsevier, vol. 65(C), pages 729-742.
- Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
- Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
- Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
- Grace Lee Ching Yap, 2020. "Optimal Filter Approximations for Latent Long Memory Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 547-568, August.
- Mccloskey, Adam & Perron, Pierre, 2013.
"Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
- Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016.
"Quantile Regression for Long Memory Testing: A Case of Realized Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
- Paulo M.M. Rodrigues & Uwe Hassler, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
- Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
- Cassola, Nuno & Morana, Claudio, 2010.
"Comovements in volatility in the euro money market,"
Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
- Cassola, Nuno & Morana, Claudio, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank.
- Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
- 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.
- 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 & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
- Marie Busch & Philipp Sibbertsen, 2018.
"An Overview of Modified Semiparametric Memory Estimation Methods,"
Econometrics, MDPI, vol. 6(1), pages 1-21, March.
- Busch, Marie & Sibbertsen, Philipp, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Hannover Economic Papers (HEP) dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Davidson, James & Hashimzade, Nigar, 2009.
"Type I and type II fractional Brownian motions: A reconsideration,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
- James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, University of Exeter, Department of Economics.
- Nautz, Dieter & Scheithauer, Jan, 2011.
"Monetary policy implementation and overnight rate persistence,"
Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1375-1386.
- Nautz, Dieter & Scheithauer, Jan, 2009. "Monetary policy implementation and overnight rate persistence," SFB 649 Discussion Papers 2009-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nautz, Dieter & Scheithauer, Jan, 2010. "Monetary policy implementation and overnight rate persistence," Discussion Papers 2010/26, Free University Berlin, School of Business & Economics.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2006.
"A regime switching long memory model for electricity prices,"
Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
- Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, Department of Economics and Business Economics, Aarhus University.
- Christian M. Hafner & Arie Preminger, 2016.
"The effect of additive outliers on a fractional unit root test,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 401-420, October.
- Hafner, Christian & Preminger, Arie, 2015. "The effect of additive outliers on a fractional unit root test," LIDAM Discussion Papers ISBA 2015027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Premiger, Arie, 2016. "The effect of additive outliers on a fractional unit root test," LIDAM Reprints ISBA 2016027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Christian M. HAFNER & Arie PREMINGER, 2016. "The Effect of Additive Outliers on Fractional Unit Root Tests," LIDAM Reprints CORE 2762, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021.
"Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
- Balboa, Marina & Rodrigues, Paulo MM & Rubia, Antonio & Taylor, AM Robert, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Essex Finance Centre Working Papers 29777, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Marina Balboa, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Working Papers w202102, Banco de Portugal, Economics and Research Department.
- Fajardo, Fabio Alexander, 2011. "Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
- Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2022. "Commodity and financial markets’ fear before and during COVID-19 pandemic: Persistence and causality analyses," Resources Policy, Elsevier, vol. 76(C).
- Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017.
"Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
- Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
- Hassler, Uwe & Nautz, Dieter, 2008. "On the persistence of the Eonia spread," Economics Letters, Elsevier, vol. 101(3), pages 184-187, December.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
- Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
- Grassi, Stefano & Santucci de Magistris, Paolo, 2014.
"When long memory meets the Kalman filter: A comparative study,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
- Stefano Grassi & Paolo Santucci de Magistris, 2011. "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers 2011-14, Department of Economics and Business Economics, Aarhus University.
- Hansen, Peter R. & Lunde, Asger, 2014.
"Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error,"
Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
- Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
- Matei Demetrescu & Mehdi Hosseinkouchack, 2022. "Autoregressive spectral estimates under ignored changes in the mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 329-340, March.
- Haldrup Niels & Nielsen Morten Ø., 2006.
"Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
- Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Estimation of Long Memory in Integrated Variance,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
- Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
- Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008.
"Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
- Luis A. Gil-Alana & Guglielmo M. Caporale, 2008. "Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks," Faculty Working Papers 11/08, School of Economics and Business Administration, University of Navarra.
- Henghsiu Tsai & Heiko Rachinger & Edward M.H. Lin, 2015. "Inference of Seasonal Long-memory Time Series with Measurement Error," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 137-154, March.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
- Svend Hylleberg, 2004. "On the Exploitation of Market Power in the Nordic Electricity Markets. The Case of Elsam," Economics Working Papers 2004-5, Department of Economics and Business Economics, Aarhus University.
- Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
- Onsurang Norrbin & Aaron D. Smallwood, 2011. "Mean Reversion in the Real Interest Rate and the Effects of Calculating Expected Inflation," Southern Economic Journal, John Wiley & Sons, vol. 78(1), pages 107-130, July.