1. A Comparison of Semiparametric Tests for Fractional Cointegration. (2019). Sibbertsen, Philipp ; Voges, Michelle ; Leschinski, Christian.
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2. Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination. (2015). Christensen, Bent Jesper ; Varneskov, Rasmus T..
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3. On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
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4. Long memory and tail dependence in trading volume and volatility. (2013). Santucci de Magistris, Paolo ; Rossi, Eduardo.
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5. On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Santucci de Magistris, Paolo ; Carlini, Federico.
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6. On the Predictability of Stock Prices: a Case for High and Low Prices. (2012). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
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7. On the Predictability of Stock Prices: a Case for High and Low Prices. (2011). Ranaldo, Angelo ; Caporin, Massimiliano.
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8. On the Predictability of Stock Prices: A Case for High and Low Prices.. (2011). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
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9. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
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2. On simulation of optimal strategies and Nash equilibrium in the financial market context. (2010). Mockus, Jonas .
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3. Macro and Financial Markets: The Memory of an Elephant?. (2008). Talmain, Gabriel ; Abadir, Karim M.
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4. On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty. (2008). Caglayan, Mustafa ; Baum, Christopher.
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5. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks. (2007). Ooms, Marius ; Koopman, Siem Jan ; Bos, Charles.
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6. The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine. (2007). Gil-Alana, Luis ; Fischer, Christian.
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7. Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach. (2006). Shimotsu, Katsumi ; Nielsen, Morten.
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8. TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA. (2006). Quoreshi, Shahiduzzaman.
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9. LongMemory, Count Data, Time Series Modelling for Financial Application. (2006). Quoreshi, Shahiduzzaman.
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10. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility*. (2006). Qu, Zhongjun ; Perron, Pierre.
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11. Dollarization Persistence and Individual Heterogeneity. (2005). Winkelried, Diego ; Castillo, Paul.
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12. A NEW METHOD FOR ESTIMATING THE ORDER OF INTEGRATION OF FRACTIONALLY INTEGRATED PROCESSES USING BISPECTRA. (2005). Dalkır, Mehmet ; Dalkir, Mehmet .
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13. Long Memory, Heterogeneity and Trend Chasing. (2005). Li, Youwei ; He, Xuezhong.
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14. Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994. (2005). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
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15. The Nature of the Relationship between International Tourism and International Trade: The Case of Ge. (2005). Gil-Alana, Luis ; Fischer, Christian.
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16. Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases.. (2005). Poskitt, Donald.
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17. Distilling co-movements from persistent macro and financial series. (2005). Talmain, Gabriel ; Abadir, Karim .
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18. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. (2005). Nielsen, Morten ; Haldrup, Niels.
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19. Persistence Characteristics of Latin American Financial Markets. (2004). Los, Cornelis ; Kyaw, Nyonyo ; ZONG, SIJING.
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20. Long-Term Dependence Characteristics of European Stock Indices. (2004). Los, Cornelis ; LIPKA, JOANNA M..
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21. Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era. (2004). Ahking, Francis.
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22. Market Design, Bidding Rules, and Long Memory in Electricity Prices. (2004). Sapio, Sandro.
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23. Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity. (2004). Smallwood, Aaron.
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24. An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series. (2004). Swanson, Norman ; Bhardwaj, Geetesh.
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25. Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach. (2004). Tsui, Albert ; Ka Cheng Tsui, ; Ho, Kin-Yip.
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26. Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade. (2004). G. K. RANDOLPH TAN, ; G. K. Randolph Tan, .
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27. Indirect Estimation of Long Memory Volatility Models. (2004). Wilkins, Nigel.
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28. A Regime Switching Long Memory Model for Electricity Prices. (2004). Nielsen, Morten ; Haldrup, Niels.
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29. Testing and Estimating Persistence in Canadian Unemployment.. (2003). Mikhail, O. ; HANDA, JAGDISH ; EBERWEIN, Curtis J..
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30. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
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31. Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil. (2003). Souza, Leonardo ; Soares, Lacir Jorge.
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32. Forecasting electricity demand using generalized long memory. (2003). Souza, Leonardo ; Soares, Lacir Jorge.
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33. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS. (2002). Wright, Jonathan.
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34. Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero.
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35. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
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36. Volatility fingerprints of large shocks: Endogeneous versus exogeneous. (2002). Malevergne, Yannick ; Sornette, D. ; Muzy, J. F..
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37. Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics. (2002). Nielsen, Morten.
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38. Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors. (2001). Taufer, Emanuele ; Leonenko, N. N..
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39. Modelos de memoria larga para series económicas y financieras. (2001). Ruiz, Esther ; Perez, Ana .
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40. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Duan, Jin-Chuan ; Jacobs, Kris.
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41. Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks. (2000). Serletis, Apostolos ; Dueker, Michael.
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42. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
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43. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
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44. Persistent Dependence in Foreign Exchange Rates? A Reexamination. (2000). Chakraborty, Atreya ; Caglayan, Mustafa ; Barkoulas, John ; Baum, Christopher.
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45. Money and Interest Rates with Endogeneously Segmented Markets. (1999). Kehoe, Patrick ; Atkeson, Andrew ; Alvarez, Fernando.
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46. Martingales, Nonlinearity, and Chaos. (1998). Serletis, Apostolos ; Barnett, William.
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47. An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets. (1997). Jensen, Mark.
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48. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
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49. A Multifractal Model of Asset Returns. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
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50. Fractional Dynamics in Japanese Financial Time Series. (1996). Barkoulas, John ; Baum, Christopher.
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