1. Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA. (2012). Benbouziane, Mohamed ; Taouli, Mustapha Kamel ; Hadjer, Soumia Aouad.
   In: MPRA Paper.
   RePEc:pra:mprapa:38605.

   Full description at Econpapers || Download paper

1. Baillie, R. T. and T. Bollerslev. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. Journal of Finance 49-2 (1994): 737-745.

2. Baillie, R. T. and T. Bollerslev. Common Stochastic Trends in a System of Exchange Rates. Journal of Finance 44 (1989):167-181.
   Paper not yet in RePEc: Add citation now
   

3. Barkoulas, J., C. Baum, M. Caglayan, and A. Chakraborty. Persistent Dependence in Foreign Exchange Rates? A Reexamination. Forthcoming in Global Financial Markets: Issues and Policies, Greenwood Press, Westport CT, 2003.

4. Booth, G. G., F. R. Kaen, and P. E. Koveos. R/S Analysis of Foreign Exchange Markets Under Two International Monetary Regimes. Journal of Monetary Economics 10 (1982): 407-415.
   Paper not yet in RePEc: Add citation now
   

5. Breidt, F. J., N. Crato, and P. De Lima. The Detection and Estimation of Long Memory in Stochastic Volatility. Journal of Econometrics 83-2 (1998): 325-348.

6. Brockwell, P. J. and R. A. Davis. Time Series: Theory and Methods. 2nd ed. Springer, New York, 1991.
   Paper not yet in RePEc: Add citation now
   

7. Cheung, Y. Long Memory in Foreign-Exchange Rates. Journal of Business and Economic Statistics 11(1993): 93-101.

8. Daubechies, I. Orthonormal Bases of Compactly Supported Wavelets. Communications on Pure and Applied Mathematics 41(1988): 909-996.
   Paper not yet in RePEc: Add citation now
   

9. Dickey, D.A. and W. Fuller. Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root. Econometrica 49 (1981): 1057-1072.

10. Geweke, J. and S. Porter-Hudak. The Estimation and Application of Long Memory Time Series Models. The Journal of Time Series Analysis 4-4 (1983): 221-238.

11. Granger, C. W. and R. Joyeaux. An Introduction to Long-Memory Time Series Models and Fractional Differencing. The Journal of Time Series Analysis 1-1 (1980): 15-29.
    Paper not yet in RePEc: Add citation now
    
12. Hosking, J. R. Fractional Differencing. Biometrika 68 (1981): 165-176.
    Paper not yet in RePEc: Add citation now
    

13. Jensen, M. J. Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Longmemory Parameter. Journal of Forecasting 18 (1999): 17-32.

14. Kwiatkowski, D., P. Phillips, P. Schmidt, and Y. Shin. Testing the Null of Stationarity Against the Alternative of a Unit Root. Journal of Econometrics 54 (1992): 159-178.

15. Pan, M., Y. A. Liu, and H. Bastin. An Examination of the Short-Term and Long-Term Behavior of Foreign Exchange Rates. The Financial Review 31-3 (1996): 603-622.

16. Papell, D.H (2002), The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis. Journal of International Economics, 57: 51-82.

17. Robinson, P. Efficient tests of nontationary hypotheses. Journal of the American Statistical Association 89 (1994): 1420-1437.
    Paper not yet in RePEc: Add citation now
    
18. Robinson, P. Gaussian Semiparametric Estimation of Long Range Dependence. Annals of Statistics 13 (1995): 1630-1661.
    Paper not yet in RePEc: Add citation now
    

19. Sowell, F. Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series. Journal of Econometrics 53 (1992): 165-188.

1. Learning generates Long Memory. (2013). Mavroeidis, Sophocles ; Chevillon, Guillaume.
   In: Post-Print.
   RePEc:hal:journl:hal-00661012.

   Full description at Econpapers || Download paper

2. Beyond Co-Integration: Modelling Co-Movements in Macro finance. (2012). Talmain, Gabriel ; Abadir, Karim.
   In: Working Paper series.
   RePEc:rim:rimwps:25_12.

   Full description at Econpapers || Download paper

3. Fractional Cointegration Analysis of Securitized Real Estate. (2012). Hoesli, Martin ; SERRANO, Camilo .
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:44:y:2012:i:3:p:319-338.

   Full description at Econpapers || Download paper

4. A wavelet-based approach for modelling exchange rates. (2011). Boutahar, Mohamed ; Boubaker, Heni ; Mohamed, Boutahar ; Heni, Boubaker.
   In: Statistical Methods & Applications.
   RePEc:spr:stmapp:v:20:y:2011:i:2:p:201-220.

   Full description at Econpapers || Download paper

5. Learning generates Long Memory. (2011). Mavroeidis, Sophocles ; Chevillon, Guillaume.
   In: ESSEC Working Papers.
   RePEc:ebg:essewp:dr-11013.

   Full description at Econpapers || Download paper

6. Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro. (2010). Kühl, Michael ; Kuhl, Michael.
   In: Journal of Economics and Business.
   RePEc:eee:jebusi:v:62:y:2010:i:1:p:1-19.

   Full description at Econpapers || Download paper

7. Fractional integration and cointegration in stock prices and exchange rates. (2010). Pguin-feissolle, Anne ; Boutahar, Mohamed ; Aloy, Marcel ; Gente, Karine.
   In: Economics Bulletin.
   RePEc:ebl:ecbull:v:30:y:2010:i:1:p:115-129.

   Full description at Econpapers || Download paper

8. Two estimators of the long-run variance: Beyond short memory. (2009). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:150:y:2009:i:1:p:56-70.

   Full description at Econpapers || Download paper

9. A fractionally integrated exponential STAR model applied to the US real effective exchange rate. (2009). PEGUIN-FEISSOLLE, Anne ; Boutahar, Mohamed ; Mootamri, Imene .
   In: Economic Modelling.
   RePEc:eee:ecmode:v:26:y:2009:i:2:p:335-341.

   Full description at Econpapers || Download paper

10. Cointegrating Rank Selection in Models with Time-Varying Variance. (2009). Phillips, Peter ; Cheng, Xu.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1688.

    Full description at Econpapers || Download paper

11. Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar. (2008). Tsui, Albert ; Ho, Kin-Yip.
    In: SCAPE Policy Research Working Paper Series.
    RePEc:sca:scaewp:0805.

    Full description at Econpapers || Download paper

12. Macro and Financial Markets: The Memory of an Elephant?. (2008). Talmain, Gabriel ; Abadir, Karim M.
    In: Working Paper series.
    RePEc:rim:rimwps:17_08.

    Full description at Econpapers || Download paper

13. Testing the forward rate unbiasedness hypothesis during the 1920s. (2008). Kouretas, Georgios ; Georgoutsos, Dimitris ; Diamandis, Panayiotis F..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:18:y:2008:i:4:p:358-373.

    Full description at Econpapers || Download paper

14. An exponential FISTAR model applied to the US real effective exchange rate. (2007). PEGUIN-FEISSOLLE, Anne ; Boutahar, Mohamed ; Mootamri, Imene .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00353836.

    Full description at Econpapers || Download paper

15. Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach. (2007). Shimotsu, Katsumi ; Nielsen, Morten.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:574-596.

    Full description at Econpapers || Download paper

16. Some Empirical Observations on the Forward Exchange Rate Anomaly. (2006). O'Brien, Edward ; Hession, Niall ; Bond, Derek ; Harrison, Michael J..
    In: Trinity Economics Papers.
    RePEc:tcd:tcduee:tep2006.

    Full description at Econpapers || Download paper

17. Purchasing Power Parity as a long-term memory process: evidence from Canada. (2006). HANDA, JAGDISH ; Villeneuve, Jean-Francois .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:109-117.

    Full description at Econpapers || Download paper

18. La crise monétaire turque de 2000/2001 : analyse de léchec du plan de stabilisation par le change du FMI.. (2006). Reynaud, Julien ; Héricourt, Jérôme.
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:bla06009.

    Full description at Econpapers || Download paper

19. La crise monétaire turque de 2000/2001 : analyse de léchec du plan de stabilisation par le change du FMI. (2006). Reynaud, Julien ; Hericourt, Jerome.
    In: Post-Print.
    RePEc:hal:journl:halshs-00084717.

    Full description at Econpapers || Download paper

20. Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting. (2006). Nielsen, Morten ; Christensen, Bent Jesper.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:1:p:343-371.

    Full description at Econpapers || Download paper

21. Residual log-periodogram inference for long-run relationships. (2006). Velasco, Carlos ; Marmol, Francesc ; Hassler, Uwe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:130:y:2006:i:1:p:165-207.

    Full description at Econpapers || Download paper

22. Some Empirical Observations on the Forward Exchange Rate Anomaly. (2006). O'Brien, Edward ; Bond, Derek ; OBrien, Edward J. ; Hession, Niall ; Harrison, Michael J.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:3/rt/06.

    Full description at Econpapers || Download paper

23. A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach. (2005). Gil-Alana, Luis ; Cuñado, Juncal ; CUNADO, J. ; de Gracia, Perez F..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:10:p:2633-2654.

    Full description at Econpapers || Download paper

24. Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity. (2004). Smallwood, Aaron.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:23.

    Full description at Econpapers || Download paper

25. A fractionally integrated model for the Spanish real GDP. (2004). Gil-Alana, Luis Alberiko.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2004:i:8:p:1-6.

    Full description at Econpapers || Download paper

26. A fractionally integrated model for the Spanish real GDP. (2004). Gil-Alana, Luis.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-03c20017.

    Full description at Econpapers || Download paper

27. Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics. (2004). Nielsen, Morten.
    In: Journal of Business & Economic Statistics.
    RePEc:bes:jnlbes:v:22:y:2004:p:331-345.

    Full description at Econpapers || Download paper

28. A REEXAMINATION OF FRACTIONAL INTEGRATING DYNAMICS IN FOREIGN CURRENCY MARKETS. (2004). Jin, Hyun ; Elder, John ; Koo, Won W..
    In: 2004 Annual meeting, August 1-4, Denver, CO.
    RePEc:ags:aaea04:20004.

    Full description at Econpapers || Download paper

29. Nonlinear prediction of exchange rates with monetary fundamentals. (2003). Wu, Yangru ; Qi, Min .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:5:p:623-640.

    Full description at Econpapers || Download paper

30. Estimating fractional cointegration in the presence of polynomial trends. (2003). Hurvich, Clifford ; Chen, Willa W..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:117:y:2003:i:1:p:95-121.

    Full description at Econpapers || Download paper

31. The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies. (2002). Dimitriu, Anca ; Alexandra, Carol.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2002-08.

    Full description at Econpapers || Download paper

32. Inference on the cointegration rank in fractionally integrated processes. (2002). Hassler, Uwe ; Breitung, Jörg.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:110:y:2002:i:2:p:167-185.

    Full description at Econpapers || Download paper

33. Long memory and nonlinear time series. (2002). Teräsvirta, Timo ; Davidson, James ; Terasvirta, Timo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:110:y:2002:i:2:p:105-112.

    Full description at Econpapers || Download paper

34. Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator. (2001). Tkacz, Greg.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:5:y:2001:i:1:n:2.

    Full description at Econpapers || Download paper

35. Does the Fed beat the foreign-exchange market?. (2000). Sweeney, R. J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:24:y:2000:i:5:p:665-694.

    Full description at Econpapers || Download paper

36. Bivariate FIGARCH and fractional cointegration. (2000). Brunetti, Celso ; Gilbert, Christopher L..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:5:p:509-530.

    Full description at Econpapers || Download paper

37. Estimating the differencing parameter via the partial autocorrelation function. (2000). CHONG, Terence Tai Leung.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:97:y:2000:i:2:p:365-381.

    Full description at Econpapers || Download paper

38. An Approximate Wavelet MLE of Short and Long Memory Parameters. (1999). Jensen, Mark.
    In: Econometrics.
    RePEc:wpa:wuwpem:9802003.

    Full description at Econpapers || Download paper

39. Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model. (1999). Jeng, Jau-Lian .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:10:y:1999:i:1:p:25-34.

    Full description at Econpapers || Download paper

40. Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter. (1997). Jensen, Mark.
    In: Econometrics.
    RePEc:wpa:wuwpem:9710002.

    Full description at Econpapers || Download paper

41. A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency. (1997). Barkoulas, John ; Baum, Christopher.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:7:y:1997:i:6:p:635-643.

    Full description at Econpapers || Download paper

42. Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve. (1997). Startz, Richard ; Dueker, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:1994-027.

    Full description at Econpapers || Download paper

43. The cointegration of Asian currencies revisited. (1997). Tse, Y. K. ; Ng, L. K..
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:9:y:1997:i:1:p:109-114.

    Full description at Econpapers || Download paper

44. Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples. (1997). van Norden, Simon ; Godbout, Marie-Josee.
    In: Staff Working Papers.
    RePEc:bca:bocawp:97-1.

    Full description at Econpapers || Download paper

45. Exchange rate cointegration across central bank regime shifts. (1996). Lopez, Jose.
    In: Research Paper.
    RePEc:fip:fednrp:9602.

    Full description at Econpapers || Download paper

46. Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market. (1996). Booth, Geoffrey G. ; Tse, Yiuman.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:48:y:1996:i:3:p:299-312.

    Full description at Econpapers || Download paper

47. Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen. (1996). Aggarwal, Raj ; Mougoue, Mbodja .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:8:y:1996:i:3:p:291-308.

    Full description at Econpapers || Download paper

48. Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:5-59.

    Full description at Econpapers || Download paper

49. Modeling and pricing long memory in stock market volatility. (1996). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:151-184.

    Full description at Econpapers || Download paper

50. Modeling International Long-Term Interest Rates.. (1994). Lee, Junsoo ; Degennaro, Ramon ; Kunkel, Robert A.
    In: The Financial Review.
    RePEc:bla:finrev:v:29:y:1994:i:4:p:577-97.

    Full description at Econpapers || Download paper

Report date: 2025-03-04 15:24:54 || Missing content? Let us know