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2. A Study on Spurious Long Memory in Nonlinear Time Series Models. (2008). Sibbertsen, Philipp ; Kuswanto, Heri.
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1. An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie.
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   RePEc:gam:jecnmx:v:6:y:2018:i:1:p:13-:d:135826.

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2. Forecasting volatility with empirical similarity and Google Trends. (2015). Heiden, Moritz ; Hamid, Alain .
   In: Journal of Economic Behavior & Organization.
   RePEc:eee:jeborg:v:117:y:2015:i:c:p:62-81.

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3. A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model. (2014). Arteche, Josu ; Zamprogno, Bartolomeu ; Palma, Wilfredo ; Reisen, Valderio A..
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:98:y:2014:i:c:p:1-17.

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4. Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise. (2012). Bata, Milan.
   In: Acta Oeconomica Pragensia.
   RePEc:prg:jnlaop:v:2012:y:2012:i:2:id:360:p:3-20.

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5. Estimation of long memory in integrated variance. (2012). Santucci de Magistris, Paolo ; Rossi, Eduardo.
   In: DEM Working Papers Series.
   RePEc:pav:demwpp:017.

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6. Local polynomial Whittle estimation of perturbed fractional processes. (2012). Nielsen, Morten ; Frederiksen, Per .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:167:y:2012:i:2:p:426-447.

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7. Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends. (2012). McCloskey, Adam.
   In: Working Papers.
   RePEc:bro:econwp:2012-17.

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8. Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends. (2012). Perron, Pierre ; McCloskey, Adam.
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   RePEc:bro:econwp:2012-15.

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9. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
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   RePEc:hal:journl:peer-00815563.

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10. Inference on power law spatial trends (Running Title: Power Law Trends). (2011). Robinson, Peter M..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:58100.

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11. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:240-247.

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12. Inference on Power Law Spatial Trends (Running Title: Power Law Trends). (2011). Robinson, Peter M.
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13. Inference on Power Law Spatial Trends (Running Title: Power Law Trends). (2011). Robinson, Peter M.
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14. Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns. (2011). Perron, Pierre ; Varneskov, Rasmus T..
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2011-050.

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15. Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns. (2011). Perron, Pierre ; Varneskov, Rasmus Tangsgaard .
    In: CREATES Research Papers.
    RePEc:aah:create:2011-26.

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16. Semiparametric inference in correlated long memory signal plus noise models. (2010). Arteche, Josu.
    In: BILTOKI.
    RePEc:ehu:biltok:5570.

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17. Long memory versus structural breaks in modeling and forecasting realized volatility. (2010). Yu, Wei-Choun ; Zivot, Eric ; Choi, Kyongwook.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:5:p:857-875.

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18. Comovements in volatility in the euro money market. (2010). MORANA, CLAUDIO ; Cassola, Nuno.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:3:p:525-539.

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19. Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends. (2010). Perron, Pierre ; McCloskey, Adam.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2010-048.

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20. Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-08.

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21. On the macroeconomic causes of exchange rate volatility. (2009). MORANA, CLAUDIO.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:328-350.

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22. Using the bootstrap for finite sample confidence intervals of the log periodogram regression. (2009). Orbe, Jesus ; Arteche, Josu.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:1940-1953.

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23. Selection of the number of frequencies using bootstrap techniques in log-periodogram regression. (2008). Arteche, Josu ; Orbe, Jesus Maria .
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24. Econometric estimation in long-range dependent volatility models: Theory and practice. (2008). GAO, Jiti ; Casas, Isabel.
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25. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices. (2008). Qu, Zhongjun ; Perron, Pierre.
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    RePEc:bos:wpaper:wp2008-004.

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26. Bias-reduced estimation of long memory stochastic volatility. (2008). Nielsen, Morten ; Frederiksen, Per .
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27. Local polynomial Whittle estimation of perturbed fractional processes. (2008). Nielsen, Morten ; Frederiksen, Per .
    In: CREATES Research Papers.
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28. Nonlinear time series: semiparametric and nonparametric methods. (2007). GAO, Jiti.
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29. Econometric estimation in long-range dependent volatility models: Theory and practice. (2007). GAO, Jiti ; Casas, Isabel.
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30. Estimating, Filtering and Forecasting Realized Betas. (2007). MORANA, CLAUDIO.
    In: ICER Working Papers - Applied Mathematics Series.
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31. On the macroeconomic causes of exchange rates volatility. (2007). MORANA, CLAUDIO.
    In: ICER Working Papers.
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32. Comovements in Volatility in the Euro Money Market. (2007). MORANA, CLAUDIO ; Cassola, Nuno.
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33. Multivariate modelling of long memory processes with common components. (2007). MORANA, CLAUDIO.
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34. Estimation of fractional integration in the presence of data noise. (2007). Nielsen, Morten ; Haldrup, Niels.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:6:p:3100-3114.

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35. Long Memory in Nonlinear Processes. (2007). Hurvich, Clifford ; Deo, Rohit ; Hsieh, Meng-Chen ; Soulier, Philippe.
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36. Semiparametric estimation in perturbed long memory series. (2006). Arteche, Josu ; University of the Basque Country, .
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37. Multivariate modelling of long memory processes with common components. (2006). MORANA, CLAUDIO.
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38. Consistent estimation of the memory parameter for nonlinear time series. (2006). Hidalgo, Javier ; Dalla, Violetta ; Giraitis, Liudas.
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39. Breaks and persistency: macroeconomic causes of stock market volatility. (2006). MORANA, CLAUDIO ; Beltratti, Andrea.
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40. A small scale macroeconometric model for the Euro-12 area. (2006). MORANA, CLAUDIO.
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41. Semiparametric estimation in perturbed long memory series. (2006). Arteche, Josu.
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42. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
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43. Consistent estimation of the memory parameterfor nonlinear time series. (2006). Dalla, Violetta ; Hidalgo, Javier ; Giraitis, Liudas.
    In: STICERD - Econometrics Paper Series.
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44. The Long and the Short of It: Long Memory Regressors and Predictive Regressions. (2005). Wohar, Mark ; Smallwood, Aaron ; Maynard, Alex.
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45. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios.. (2005). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers.
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46. Semiparametric estimation in perturbed long memory series. (2005). .
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47. Estimating Long Memory in Volatility. (2004). Moulines, Eric ; Hurvich, Clifford ; Soulier, Philippe.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412006.

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48. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
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49. The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?. (2004). MORANA, CLAUDIO.
    In: ICER Working Papers.
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50. Estimation of Fractional Integration in the Presence of Data Noise. (2003). Nielsen, Morten ; Haldrup, Niels.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2003-10.

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