Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun Robust testing for explosive behavior with strongly dependent errors. (English) Zbl 07803965 J. Econom. 238, No. 2, Article ID 105626, 25 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. L. Lui} et al., J. Econom. 238, No. 2, Article ID 105626, 25 p. (2024; Zbl 07803965) Full Text: DOI
Ergemen, Yunus Emre Parametric estimation of long memory in factor models. (English) Zbl 07704502 J. Econom. 235, No. 2, 1483-1499 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. E. Ergemen}, J. Econom. 235, No. 2, 1483--1499 (2023; Zbl 07704502) Full Text: DOI
Gogebakan, Kemal Caglar A family of nonparametric unit root tests for processes driven by infinite variance innovations. (English) Zbl 07681754 Stud. Nonlinear Dyn. Econom. 26, No. 5, 705-721 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. C. Gogebakan}, Stud. Nonlinear Dyn. Econom. 26, No. 5, 705--721 (2022; Zbl 07681754) Full Text: DOI
Andersen, Torben G.; Varneskov, Rasmus T. Consistent inference for predictive regressions in persistent economic systems. (English) Zbl 07376515 J. Econom. 224, No. 1, 215-244 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{T. G. Andersen} and \textit{R. T. Varneskov}, J. Econom. 224, No. 1, 215--244 (2021; Zbl 07376515) Full Text: DOI Link
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model. (English) Zbl 1454.91359 Quant. Finance 20, No. 9, 1457-1473 (2020). MSC: 91G60 91G20 65C05 65D30 65D32 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 20, No. 9, 1457--1473 (2020; Zbl 1454.91359) Full Text: DOI arXiv Link
Ren, Yu; Xie, Tian Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach. (English) Zbl 1406.91494 Quant. Finance 18, No. 12, 2101-2112 (2018). MSC: 91G70 PDFBibTeX XMLCite \textit{Y. Ren} and \textit{T. Xie}, Quant. Finance 18, No. 12, 2101--2112 (2018; Zbl 1406.91494) Full Text: DOI
Ito, Ryoko Long memory and fractional differencing: revisiting Clive W. J. Granger’s contributions and further developments. (English) Zbl 1380.62013 Eur. J. Pure Appl. Math. 10, No. 1, 82-103 (2017). MSC: 62-03 62M10 62M15 62M20 62P20 91B84 01A70 PDFBibTeX XMLCite \textit{R. Ito}, Eur. J. Pure Appl. Math. 10, No. 1, 82--103 (2017; Zbl 1380.62013)
Zhang, Dayong; Barassi, Marco R.; Tan, Jijun Residual-based tests for fractional cointegration: testing the term structure of interest rates. (English) Zbl 1491.62164 Econom. Rev. 34, No. 6-10, 1118-1140 (2015). MSC: 62P05 62M10 91G30 PDFBibTeX XMLCite \textit{D. Zhang} et al., Econom. Rev. 34, No. 6--10, 1118--1140 (2015; Zbl 1491.62164) Full Text: DOI
Barunik, Jozef; Vacha, Lukas Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (English) Zbl 1406.91432 Quant. Finance 15, No. 8, 1347-1364 (2015). MSC: 91G20 62P05 42C40 PDFBibTeX XMLCite \textit{J. Barunik} and \textit{L. Vacha}, Quant. Finance 15, No. 8, 1347--1364 (2015; Zbl 1406.91432) Full Text: DOI arXiv
Wang, Gaowen; Han, Nan-Wei Spurious regressions in time series with long memory. (English) Zbl 1325.62174 Commun. Stat., Theory Methods 44, No. 4, 837-854 (2015). MSC: 62M10 91B84 60J65 62G20 62J02 PDFBibTeX XMLCite \textit{G. Wang} and \textit{N.-W. Han}, Commun. Stat., Theory Methods 44, No. 4, 837--854 (2015; Zbl 1325.62174) Full Text: DOI
Rossi, Eduardo; Santucci de Magistris, Paolo Estimation of long memory in integrated variance. (English) Zbl 1491.62162 Econom. Rev. 33, No. 7, 785-814 (2014). MSC: 62P05 62M10 62M15 91B84 PDFBibTeX XMLCite \textit{E. Rossi} and \textit{P. Santucci de Magistris}, Econom. Rev. 33, No. 7, 785--814 (2014; Zbl 1491.62162) Full Text: DOI Link
Aue, Alexander; Horváth, Lajos; Hurvich, Clifford; Soulier, Philippe Limit laws in transaction-level asset price models. (English) Zbl 1296.91119 Econom. Theory 30, No. 3 (2014). MSC: 91B25 91G70 60F17 60G55 62F12 62M10 PDFBibTeX XML Full Text: DOI arXiv
McElroy, Tucker; Politis, Dimitris N. Distribution theory for the Studentized mean for long, short, and negative memory time series. (English) Zbl 1285.62108 J. Econom. 177, No. 1, 60-74 (2013). MSC: 62M10 62G05 62G20 91B84 PDFBibTeX XMLCite \textit{T. McElroy} and \textit{D. N. Politis}, J. Econom. 177, No. 1, 60--74 (2013; Zbl 1285.62108) Full Text: DOI
Müller, Ulrich K.; Watson, Mark W. Low-frequency robust cointegration testing. (English) Zbl 1283.62177 J. Econom. 174, No. 2, 66-81 (2013). MSC: 62M07 62M10 91B84 PDFBibTeX XMLCite \textit{U. K. Müller} and \textit{M. W. Watson}, J. Econom. 174, No. 2, 66--81 (2013; Zbl 1283.62177) Full Text: DOI Link
Frömmel, Michael; Kruse, Robinson Testing for a rational bubble under long memory. (English) Zbl 1279.91190 Quant. Finance 12, No. 11, 1723-1732 (2012). MSC: 91G70 PDFBibTeX XMLCite \textit{M. Frömmel} and \textit{R. Kruse}, Quant. Finance 12, No. 11, 1723--1732 (2012; Zbl 1279.91190) Full Text: DOI
Dufrénot, Gilles; Mignon, Valérie; Naccache, Théo Testing catching-up between the developing countries: “Growth resistance” and sometimes “growth tragedy”. (English) Zbl 1258.91179 Bull. Econ. Res. 64, No. 4, 470-508 (2012). MSC: 91B82 62P20 91B62 PDFBibTeX XMLCite \textit{G. Dufrénot} et al., Bull. Econ. Res. 64, No. 4, 470--508 (2012; Zbl 1258.91179) Full Text: DOI
Hassler, Uwe; Scheithauer, Jan Detecting changes from short to long memory. (English) Zbl 1284.62525 Stat. Pap. 52, No. 4, 847-870 (2011). MSC: 62M07 62F05 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{U. Hassler} and \textit{J. Scheithauer}, Stat. Pap. 52, No. 4, 847--870 (2011; Zbl 1284.62525) Full Text: DOI
Nielsen, Morten Ørregaard Nonparametric cointegration analysis of fractional systems with unknown integration orders. (English) Zbl 1431.62405 J. Econom. 155, No. 2, 170-187 (2010). MSC: 62M10 62P05 91G30 PDFBibTeX XMLCite \textit{M. Ø. Nielsen}, J. Econom. 155, No. 2, 170--187 (2010; Zbl 1431.62405) Full Text: DOI Link
Gil-Alana, Luis A. A bivariate fractionally cointegrated relationship in the context of cyclical structures. (English) Zbl 1178.62098 J. Stat. Comput. Simulation 79, No. 11, 1355-1370 (2009). MSC: 62M10 91B82 PDFBibTeX XMLCite \textit{L. A. Gil-Alana}, J. Stat. Comput. Simulation 79, No. 11, 1355--1370 (2009; Zbl 1178.62098) Full Text: DOI
Gonçalves da Silva, Afonso; Robinson, Peter M. Fractional cointegration in stochastic volatility models. (English) Zbl 1284.62556 Econom. Theory 24, No. 5, 1207-1253 (2008). MSC: 62M10 91B70 65C05 PDFBibTeX XMLCite \textit{A. Gonçalves da Silva} and \textit{P. M. Robinson}, Econom. Theory 24, No. 5, 1207--1253 (2008; Zbl 1284.62556) Full Text: DOI
Gonçalves da Silva, Afonso; Robinson, Peter M. Finite sample performance in cointegration analysis of nonlinear time series with long memory. (English) Zbl 1359.91027 Econom. Rev. 27, No. 1-3, 268-297 (2008). MSC: 91B84 62M10 91G70 PDFBibTeX XMLCite \textit{A. Gonçalves da Silva} and \textit{P. M. Robinson}, Econom. Rev. 27, No. 1--3, 268--297 (2008; Zbl 1359.91027) Full Text: DOI Link
Boutahar, Mohamed; Dufrénot, Gilles; Péguin-Feissolle, Anne A simple fractionally integrated model with a time-varying long memory parameter \(d_t\). (English) Zbl 1136.91564 Comput. Econ. 31, No. 3, 225-241 (2008). MSC: 91B84 PDFBibTeX XMLCite \textit{M. Boutahar} et al., Comput. Econ. 31, No. 3, 225--241 (2008; Zbl 1136.91564) Full Text: DOI
Nielsen, Morten Ørregaard; Shimotsu, Katsumi Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach. (English) Zbl 1418.62344 J. Econom. 141, No. 2, 574-596 (2007). MSC: 62M10 62M15 62P20 91B84 PDFBibTeX XMLCite \textit{M. Ø. Nielsen} and \textit{K. Shimotsu}, J. Econom. 141, No. 2, 574--596 (2007; Zbl 1418.62344) Full Text: DOI Link
Hualde, Javier; Robinson, Peter M. Root-\(n\)-consistent estimation of weak fractional cointegration. (English) Zbl 1247.91138 J. Econom. 140, No. 2, 450-484 (2007). MSC: 91B82 26A33 PDFBibTeX XMLCite \textit{J. Hualde} and \textit{P. M. Robinson}, J. Econom. 140, No. 2, 450--484 (2007; Zbl 1247.91138) Full Text: DOI
Hassler, U.; Marmol, F.; Velasco, C. Residual log-periodogram inference for long-run relationships. (English) Zbl 1337.62232 J. Econom. 130, No. 1, 165-207 (2006). MSC: 62M09 62M10 91B84 PDFBibTeX XMLCite \textit{U. Hassler} et al., J. Econom. 130, No. 1, 165--207 (2006; Zbl 1337.62232) Full Text: DOI Link
Sibbertsen, Philipp; Krämer, Walter The power of the KPSS-test for cointegration when residuals are fractionally integrated. (English) Zbl 1254.91621 Econ. Lett. 91, No. 3, 321-324 (2006). MSC: 91B82 PDFBibTeX XMLCite \textit{P. Sibbertsen} and \textit{W. Krämer}, Econ. Lett. 91, No. 3, 321--324 (2006; Zbl 1254.91621) Full Text: DOI Link
Banerjee, Anindya (ed.); Urga, Giovanni (ed.) Modelling structural breaks, long memory and stock market volatility: an overview. (English) Zbl 1335.00139 J. Econom. 129, No. 1-2, 1-34 (2005). MSC: 00B25 62-06 62P05 91B84 91G70 PDFBibTeX XMLCite \textit{A. Banerjee} (ed.) and \textit{G. Urga} (ed.), J. Econom. 129, No. 1--2, 1--34 (2005; Zbl 1335.00139) Full Text: DOI
Nielsen, Morten Ørregaard Noncontemporaneous cointegration and the importance of timing. (English) Zbl 1254.91682 Econ. Lett. 86, No. 1, 113-119 (2005). MSC: 91B84 62M10 62P20 PDFBibTeX XMLCite \textit{M. Ø. Nielsen}, Econ. Lett. 86, No. 1, 113--119 (2005; Zbl 1254.91682) Full Text: DOI
Zaffaroni, Paolo Contemporaneous aggregation of linear dynamic models in large economies. (English) Zbl 1282.91263 J. Econom. 120, No. 1, 75-102 (2004). MSC: 91B82 62P20 62M10 PDFBibTeX XMLCite \textit{P. Zaffaroni}, J. Econom. 120, No. 1, 75--102 (2004; Zbl 1282.91263) Full Text: DOI
Nielsen, Morten Ørregaard Spectral analysis of fractionally cointegrated systems. (English) Zbl 1254.91681 Econ. Lett. 83, No. 2, 225-231 (2004). MSC: 91B84 62M15 91B82 62M10 PDFBibTeX XMLCite \textit{M. Ø. Nielsen}, Econ. Lett. 83, No. 2, 225--231 (2004; Zbl 1254.91681) Full Text: DOI
Nielsen, Morten Ørregaard Efficient inference in multivariate fractionally integrated time series models. (English) Zbl 1094.91054 Econom. J. 7, No. 1, 63-97 (2004). Reviewer: Georgi Boshnakov (Manchester) MSC: 91B84 91B82 PDFBibTeX XMLCite \textit{M. Ø. Nielsen}, Econom. J. 7, No. 1, 63--97 (2004; Zbl 1094.91054) Full Text: DOI