Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Integrity signals
Registry
Cites
Statistics
Claims the paper makes
Claims other papers make about this one
Each is checked against this paper’s own text: does it say what the citing paper says it does?
The Nielsen and Shimotsu (2007) test finds evidence of cointegration of order one in 36 series.
“The Nielsen and Shimotsu (2007) test finds evidence of cointegration of order one in 36 series”
From Sanctions and Russian online prices (2024) · cites this paper as Nielsen and Shimotsu (2007)
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007 · see citing works
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027 · see citing works
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,287 · see citing works
Whittaker, E. T., & Watson, G. N. (1996) · Cambridge University Press eBooks · doi:10.1017/9781009004091 · Cited by 6,969 · see citing works
(1916) · Nature · doi:10.1038/097298a0 · Cited by 2,636 · see citing works
Some properties of time series data and their use in econometric model specification
Granger, C. W. J. (1981) · Journal of Econometrics · doi:10.1016/0304-4076(81)90079-8 · Cited by 2,427 · see citing works
Long memory processes and fractional integration in econometrics
Baillie, R. T. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01732-1 · Cited by 1,880 · see citing works
Gaussian Semiparametric Estimation of Long Range Dependence
Robinson, P. M. (1995) · The Annals of Statistics · doi:10.1214/aos/1176324317 · Cited by 1,474 · see citing works
Theory and applications of long-range dependence
Doukhan, P., Oppenheim, G., & Taqqu, M. S. (2003) · Medical Entomology and Zoology · Cited by 999 · see citing works
Martingale Central Limit Theorems
Brown, B. M. (1971) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177693494 · Cited by 687 · see citing works
Common Stochastic Trends in a System of Exchange Rates
Baillie, R. T., & Bollerslev, T. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02410.x · Cited by 626 · see citing works
Exact Local Whittle Estimation of Fractional \nIntegration
Shimotsu, K., & Phillips, P. C. B. (2002) · Open Access at Essex (University of Essex) · Cited by 533 · see citing works
Self-citationA Fractional Cointegration Analysis of Purchasing Power Parity
Cheung, Y., & Lai, K. S. (1993) · Journal of Business and Economic Statistics · doi:10.1080/07350015.1993.10509936 · Cited by 505 · see citing works
Exact local Whittle estimation of fractional integration
Shimotsu, K., & Phillips, P. C. B. (2005) · The Annals of Statistics · doi:10.1214/009053605000000309 · Cited by 480 · see citing works
Self-citationStatistical aspects of self-similar processes
Künsch, H. R. (1987) · De Gruyter eBooks · doi:10.1515/9783112314227-005 · Cited by 366 · see citing works
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
Baillie, R. T., & Bollerslev, T. (1994) · The Journal of Finance · doi:10.1111/j.1540-6261.1994.tb05161.x · Cited by 363 · see citing works
Gaussian Semiparametric Estimation of Non‐stationary Time Series
Velasco, C. (1999) · Journal of Time Series Analysis · doi:10.1111/1467-9892.00127 · Cited by 336 · see citing works
Alternative forms of fractional Brownian motion
Marinucci, D., & Robinson, P. M. (1999) · Journal of Statistical Planning and Inference · doi:10.1016/s0378-3758(98)00245-6 · Cited by 289 · see citing works
EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
Shimotsu, K. (2009) · Econometric Theory · doi:10.1017/s0266466609100075 · Cited by 257 · see citing works
Self-citationDetermination of cointegrating rank in fractional systems
Robinson, P. M., & Yajima, Y. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00096-3 · Cited by 236 · see citing works
(2003) · doi:10.1093/oso/9780199257294.001.0001 · Cited by 230 · see citing works
Robinson, P. M. (2003) · London School of Economics and Political Science Research Online (London School of Economics and Political Science) · Cited by 219 · see citing works
Long Memory in Stock-Market Trading Volume
Lobato, I. N., & Velasco, C. (2000) · Journal of Business and Economic Statistics · doi:10.1080/07350015.2000.10524881 · Cited by 215 · see citing works
On Cointegration and Exchange Rate Dynamics
Diebold, F. X., Gardeazábal, J., & Yılmaz, K. (1994) · The Journal of Finance · doi:10.1111/j.1540-6261.1994.tb05160.x · Cited by 198 · see citing works
Testing for cointegration using principal components methods
Phillips, P. C. B., & Ouliaris, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90040-1 · Cited by 193 · see citing works
Labor Productivity: Structural Change and Cyclical Dynamics
Baily, M. N., Bartelsman, E. J., & Haltiwanger, J. (2001) · The Review of Economics and Statistics · doi:10.1162/00346530152480072 · Cited by 181 · see citing works
Semiparametric fractional cointegration analysis
Marinucci, D., & Robinson, P. M. (2001) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00076-8 · Cited by 164 · see citing works
Cointegration in Fractional Systems with Unknown Integration Orders
Robinson, P. M., & Hualde, J. (2003) · Econometrica · doi:10.1111/1468-0262.00468 · Cited by 147 · see citing works
A semiparametric two-step estimator in a multivariate long memory model
Lobato, I. N. (1999) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00038-4 · Cited by 132 · see citing works
Semiparametric Frequency Domain Analysis of Fractional Cointegration
Robinson, P. M., & Marinucci, D. (2003) · doi:10.1093/oso/9780199257294.003.0015 · Cited by 131 · see citing works
Christensen, B. J., & Nielsen, M. Ø. (2005) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.03.018 · Cited by 122 · see citing works
Self-citationDueker, M. J., & Startz, R. (1998) · The Review of Economics and Statistics · doi:10.1162/003465398557654 · Cited by 113 · see citing works
Bivariate FIGARCH and fractional cointegration
Brunetti, C., & Gilbert, C. L. (2000) · Journal of Empirical Finance · doi:10.1016/s0927-5398(00)00021-9 · Cited by 112 · see citing works
Inference on the cointegration rank in fractionally integrated processes
Breitung, J., & Hassler, U. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(02)00091-x · Cited by 112 · see citing works
Size and power of tests of stationarity in highly autocorrelated time series
Müller, U. K. (2004) · Journal of Econometrics · doi:10.1016/j.jeconom.2004.08.012 · Cited by 101 · see citing works
On Cointegration and Exchange Rate Dynamics
Diebold, F. X., Gardeazábal, J., & Yılmaz, K. (1994) · The Journal of Finance · doi:10.2307/2329171 · Cited by 101 · see citing works
The long range dependence paradigm for macroeconomics and finance
Henry, M., & Zaffaroni, P. (2002) · doi:10.7916/d8988k7s · Cited by 90 · see citing works
A model of fractional cointegration, and tests for cointegration using the bootstrap
Davidson, J. E. H. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(02)00092-1 · Cited by 83 · see citing works
Statistical Theory and Data Analysis.
Matusita, K. (1985) · Biometrics · doi:10.2307/2531311 · Cited by 73 · see citing works
The distance between rival nonstationary fractional processes
Robinson, P. M. (2004) · Journal of Econometrics · doi:10.1016/j.jeconom.2004.08.015 · Cited by 63 · see citing works
Long Memory in Stock-Market Trading Volume
Lobato, I. N., & Velasco, C. (2000) · Journal of Business and Economic Statistics · doi:10.2307/1392223 · Cited by 60 · see citing works
Gaussian Semi‐parametric Estimation of Fractional Cointegration
Velasco, C. (2003) · Journal of Time Series Analysis · doi:10.1111/1467-9892.00311 · Cited by 57 · see citing works
Estimation of Dimensionality in Canonical Correlation Analysis
Fujikoshi, Y., & Veitch, L. (1979) · Biometrika · doi:10.1093/biomet/66.2.345 · Cited by 56 · see citing works
Semiparametric Estimation of Fractional Cointegrating Subspaces
(2004) · Cited by 55 · see citing works
Residual log-periodogram inference for long-run relationships
Hassler, U., Mármol, F., & Velasco, C. (2005) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.03.001 · Cited by 52 · see citing works
Spectral analysis of fractionally cointegrated systems
Nielsen, M. Ø. (2004) · Economics Letters · doi:10.1016/j.econlet.2003.10.017 · Cited by 51 · see citing works
Self-citationConsistent Testing of Cointegrating Relationships
Marmol, F., & Velasco, C. (2004) · Econometrica · doi:10.1111/j.1468-0262.2004.00554.x · Cited by 50 · see citing works
Estimating fractional cointegration in the presence of polynomial trends
Chen, W. W., & Hurvich, C. M. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00119-2 · Cited by 44 · see citing works
Semiparametric Estimation of Multivariate Fractional Cointegration
Chen, W. W., & Hurvich, C. M. (2003) · Journal of the American Statistical Association · doi:10.1198/016214503000000530 · Cited by 42 · see citing works
On Estimating the Dimensionality in Canonical Correlation Analysis
Gunderson, B., & Muirhead, R. J. (1997) · Journal of Multivariate Analysis · doi:10.1006/jmva.1997.1677 · Cited by 38 · see citing works
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, M. Ø. (2004) · Journal of Business and Economic Statistics · doi:10.1198/073500104000000181 · Cited by 36 · see citing works
Self-citationA RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
Hassler, U., & Breitung, J. (2006) · Econometric Theory · doi:10.1017/s026646660606052x · Cited by 24 · see citing works
Asymptotic inference results for multivariate long‐memory processes
Dolado, J. J., & Mármol, F. (2004) · Econometrics Journal · doi:10.1111/j.1368-423x.2004.00126.x · Cited by 24 · see citing works
Nonparametric frequency domain analysis of nonstationary multivariate time series
Velasco, C. (2002) · Journal of Statistical Planning and Inference · doi:10.1016/s0378-3758(02)00235-5 · Cited by 17 · see citing works
The power of residual-based tests for cointegration when residuals are fractionally integrated
Krämer, W., & Mármol, F. (2003) · Economics Letters · doi:10.1016/j.econlet.2002.03.001 · Cited by 10 · see citing works
Semiparametric estimation of fractional cointegrating subspaces
Chen, W. W., & Hurvich, C. M. (2006) · The Annals of Statistics · doi:10.1214/009053606000000894 · Cited by 10 · see citing works
Flagged first, then by citations
1 of the 57 references couldn’t be matched to a known paper.
Cited by
Sorted by citations
Dynamic linkages among the gold market, US dollar and crude oil market
Mo, B., Nie, H., & Jiang, Y. (2017) · Physica A Statistical Mechanics and its Applications · doi:10.1016/j.physa.2017.09.091 · Cited by 109 · see citing works
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
Johansen, S. (2008) · Econometric Reviews · doi:10.1080/07474930802387977 · Cited by 64 · see citing works
Long memory and tail dependence in trading volume and volatility
Rossi, E., & de Magistris, P. S. (2013) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2013.03.004 · Cited by 57 · see citing works
Semiparametric inference in multivariate fractionally cointegrated systems
Hualde, J., & Robinson, P. M. (2010) · Journal of Econometrics · doi:10.1016/j.jeconom.2010.04.002 · Cited by 55 · see citing works
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, M. Ø. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2009.10.002 · Cited by 54 · see citing works
Self-citationNielsen, M. Ø. (2007) · Journal of Business and Economic Statistics · doi:10.1198/073500106000000314 · Cited by 52 · see citing works
Self-citationExact local Whittle estimation of fractionally cointegrated systems
Shimotsu, K. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2012.01.028 · Cited by 49 · see citing works
Self-citationSanctions and Russian online prices
Benchimol, J., & Palumbo, L. (2024) · Journal of Economic Behavior & Organization · doi:10.1016/j.jebo.2024.07.013 · Cited by 37 · see citing works
An empirical model of fractionally cointegrated daily high and low stock market prices
Baruník, J., & Dvořáková, S. (2014) · Economic Modelling · doi:10.1016/j.econmod.2014.11.024 · Cited by 37 · see citing works
Testing the validity of the tourism-led growth hypothesis under long-range dependence
Pérez–Rodríguez, J. V., Rachinger, H. J., & Santana-Gallego, M. (2020) · Current Issues in Tourism · doi:10.1080/13683500.2020.1744537 · Cited by 31 · see citing works
Local Whittle estimation of multi-variate fractionally integrated processes
Nielsen, F. S. (2010) · Journal of Time Series Analysis · doi:10.1111/j.1467-9892.2010.00702.x · Cited by 31 · see citing works
A multivariate time series approach to projected life tables
Lazăr, D., & Denuit, M. M. (2009) · Applied Stochastic Models in Business and Industry · doi:10.1002/asmb.781 · Cited by 31 · see citing works
Maciel, L. (2018) · Empirical Economics · doi:10.1007/s00181-018-1603-8 · Cited by 29 · see citing works
Cointegrating rank selection in models with time-varying variance
Cheng, X., & Phillips, P. C. B. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2012.01.022 · Cited by 28 · see citing works
Nielsen, M. Ø., & Shibaev, S. S. (2016) · Journal of the Royal Statistical Society Series A (Statistics in Society) · doi:10.1111/rssa.12251 · Cited by 24 · see citing works
Self-citationA RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
Hassler, U., & Breitung, J. (2006) · Econometric Theory · doi:10.1017/s026646660606052x · Cited by 24 · see citing works
On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
Carlini, F., & de Magistris, P. S. (2017) · Journal of Business and Economic Statistics · doi:10.1080/07350015.2017.1294077 · Cited by 23 · see citing works
The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks
Garvey, J., & Gallagher, L. A. (2011) · Journal of Forecasting · doi:10.1002/for.1244 · Cited by 23 · see citing works
Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
Maynard, A., Smallwood, A. D., & Wohar, M. E. (2012) · Econometric Reviews · doi:10.1080/07474938.2012.690663 · Cited by 23 · see citing works
A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
Rossi, E., & de Magistris, P. S. (2011) · Journal of Futures Markets · doi:10.1002/fut.20556 · Cited by 22 · see citing works
A Wald test for the cointegration rank in nonstationary fractional systems
Avarucci, M., & Velasco, C. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2009.03.007 · Cited by 21 · see citing works
de Truchis, G., & Keddad, B. (2013) · Journal of International Financial Markets Institutions and Money · doi:10.1016/j.intfin.2013.07.005 · Cited by 17 · see citing works
Government bond yields in Germany and Spain—empirical evidence from better days
Basse, T., Wegener, C., & Kunze, F. (2018) · Quantitative Finance · doi:10.1080/14697688.2017.1419734 · Cited by 17 · see citing works
Oil–gas price relationships on three continents: Disruptions and equilibria
Halser, C., Paraschiv, F., & Russo, M. (2023) · Journal of commodity markets · doi:10.1016/j.jcomm.2023.100347 · Cited by 16 · see citing works
Christensen, B. J., & Varneskov, R. T. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2016.07.009 · Cited by 15 · see citing works
The VIX, the Variance Premium, and Expected Returns*
Osterrieder, D., Ventosa‐Santaulària, D., & Vera‐Valdés, J. E. (2018) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nby008 · Cited by 15 · see citing works
Boubaker, H., Zorgati, M. B. S., & Bannour, N. (2021) · Economic Analysis and Policy · doi:10.1016/j.eap.2021.06.014 · Cited by 15 · see citing works
Volatility Discovery: Can the CDS Market Beat the Equity Options Market?
Forte, S., & Lovreta, L. (2017) · Finance research letters · doi:10.1016/j.frl.2018.04.015 · Cited by 14 · see citing works
A Semiparametric Analysis of the Term Structure of the US Interest Rates*
Iacone, F. (2009) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2008.00546.x · Cited by 12 · see citing works
Long Memory and Tail Dependence in Trading Volume and VolatilityPreprint
Rossi, E., & de Magistris, P. S. (2009) · SSRN Electronic Journal · doi:10.2139/ssrn.1434789 · Cited by 11 · see citing works
Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
Baek, C., Kechagias, S., & Pipiras, V. (2019) · Journal of Statistical Planning and Inference · doi:10.1016/j.jspi.2019.07.007 · Cited by 9 · see citing works
ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
Harris, D., & Kew, H. (2016) · Econometric Theory · doi:10.1017/s0266466615000481 · Cited by 9 · see citing works
Modeling fractional cointegration between high and low stock prices in Asian countries
Afzal, A., & Sibbertsen, P. (2019) · Empirical Economics · doi:10.1007/s00181-019-01784-4 · Cited by 9 · see citing works
A comparison of semiparametric tests for fractional cointegration
Leschinski, C., Voges, M., & Sibbertsen, P. (2020) · Statistical Papers · doi:10.1007/s00362-020-01169-1 · Cited by 8 · see citing works
Level Shifts in Volatility and the Implied-Realized Volatility RelationPreprint
Christensen, B. J., & de Magistris, P. S. (2010) · SSRN Electronic Journal · doi:10.2139/ssrn.1692844 · Cited by 8 · see citing works
On the Predictability of Stock Prices: A Case for High and Low PricesPreprint
Caporin, M., Ranaldo, A., & de Magistris, P. S. (2011) · SSRN Electronic Journal · doi:10.2139/ssrn.1866223 · Cited by 8 · see citing works
A No Arbitrage Fractional Cointegration Analysis of the Range Based VolatilityPreprint
Rossi, E., & de Magistris, P. S. (2009) · SSRN Electronic Journal · doi:10.2139/ssrn.1434792 · Cited by 8 · see citing works
On the risk comovements between the crude oil market and U.S. dollar exchange rates
de Truchis, G., & Keddad, B. (2014) · Economic Modelling · doi:10.1016/j.econmod.2014.11.014 · Cited by 7 · see citing works
Return predictability of variance differences: A fractionally cointegrated approach
Li, Z., Izzeldin, M., & Yao, X. (2020) · Journal of Futures Markets · doi:10.1002/fut.22110 · Cited by 7 · see citing works
Guesmi, K., Boubaker, H., & Lai, V. S. (2016) · Journal of Economic Integration · doi:10.11130/jei.2016.31.1.103 · Cited by 7 · see citing works
Multivariate Fractional Components Analysis
Hartl, T., & Jucknewitz, R. (2021) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbab022 · Cited by 7 · see citing works
On the predictability of high and low prices: The case of Bitcoin
Maciel, L., & Ballini, R. (2019) · Brazilian Review of Finance · doi:10.12660/rbfin.v17n1.2019.77578 · Cited by 7 · see citing works
Long-Run Comovements in East Asian Stock Market Volatility
de Truchis, G., & Keddad, B. (2016) · Open Economies Review · doi:10.1007/s11079-016-9401-4 · Cited by 7 · see citing works
Gauging the nonstationarity and asymmetries in the oil-stock price links: a multivariate analysisPreprint
Boubaker, H., Guesmi, K., & Nguyen, D. K. (2014) · RePEc: Research Papers in Economics · Cited by 7 · see citing works
Selinger, H. A. (2017) · Nature Ecology & Evolution · doi:10.1038/s41559-017-0306-4 · Cited by 7 · see citing works
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
Andersen, T. G., & Varneskov, R. T. (2022) · Econometric Theory · doi:10.1017/s0266466622000354 · Cited by 6 · see citing works
Fractional Cointegration Rank Estimation
Łasak, K., & Velasco, C. (2014) · Journal of Business and Economic Statistics · doi:10.1080/07350015.2014.945589 · Cited by 1 · see citing works
de Truchis, G., Dell’Eva, C., & Keddad, B. (2017) · Journal of International Financial Markets Institutions and Money · doi:10.1016/j.intfin.2016.12.006 · Cited by 5 · see citing works
Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach
Quineche, R. (2020) · Journal of Time Series Econometrics · doi:10.1515/jtse-2020-0029 · Cited by 4 · see citing works
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions
Andersen, T. M., & Varneskov, R. T. (2021) · National Bureau of Economic Research · doi:10.3386/w28569 · Cited by 4 · see citing works
A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models
Olaniran, S. F., & Ismail, M. T. (2022) · Austrian Journal of Statistics · doi:10.17713/ajs.v51i4.1170 · Cited by 3 · see citing works
Asymptotic results for multivariate local Whittle estimation with applications
Düker, M., & Pipiras, V. (2019) · IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing · doi:10.1109/camsap45676.2019.9022642 · Cited by 3 · see citing works
Chen, W. W., & Hurvich, C. M. (2009) · Springer eBooks · doi:10.1007/978-3-540-71297-8_31 · Cited by 3 · see citing works
Unbalanced Regressions and the Predictive EquationPreprint
Osterrieder, D., Ventosa-Santaulària, D., & Vera‐Valdés, J. E. (2015) · SSRN Electronic Journal · doi:10.2139/ssrn.2560023 · Cited by 3 · see citing works
Consistent Local Spectrum (LCM) Inference for Predictive Return RegressionsPreprint
Andersen, T. G., & Varneskov, R. T. (2020) · SSRN Electronic Journal · doi:10.2139/ssrn.3729454 · Cited by 3 · see citing works
A Novel Approach for Testing Fractional Cointegration in Panel Data Models with Fixed Effects
Olaniran, S. F., Olaniran, O. R., Allohibi, J., & Alharbi, A. A. (2024) · Fractal and Fractional · doi:10.3390/fractalfract8090527 · Cited by 2 · see citing works
Integration and Disintegration of EMU Government Bond Markets
Leschinski, C., Voges, M., & Sibbertsen, P. (2021) · Econometrics · doi:10.3390/econometrics9010013 · Cited by 2 · see citing works
Long-Term Relationships between the Stock Exchanges in Frankfurt, Vienna and Warsaw
Wójtowicz, T. (2015) · Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia · doi:10.18276/frfu.2015.74/1-19 · Cited by 2 · see citing works
A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects
Olaniran, S. F., Olaniran, O. R., Allohibi, J., Alharbi, A. A., & Ismail, M. T. (2024) · Mathematics · doi:10.3390/math12081172 · Cited by 2 · see citing works
Testing for the Equality of Integration Orders of Multiple Series
Wang, M., & Chan, N. H. (2016) · Econometrics · doi:10.3390/econometrics4040049 · Cited by 2 · see citing works
On the Predictability of Stock Prices: a Case for High and Low Prices
Caporin, M., Ranaldo, A., & de Magistris, P. S. (2012) · Alexandria (UniSG) (University of St.Gallen) · doi:10.1016/j.jbankfin.2013.05.024 · Cited by 52 · see citing works
Statistical Inference for Nonstationary Processes
Beran, J., Feng, Y., Ghosh, S., & Kulik, R. (2013) · Springer eBooks · doi:10.1007/978-3-642-35512-7_7 · Cited by 1 · see citing works
Balboa, M., Rodrigues, P. M. M., Rubia, A., & Taylor, R. (2021) · Journal of Applied Econometrics · doi:10.1002/jae.2829 · Cited by 1 · see citing works
The Testing of Causal Stock Returns-Trading Volume Dependencies with the Aid of Copulas
Gurgul, H., Mestel, R., & Syrek, R. (2013) · Managerial Economics · doi:10.7494/manage.2013.13.1.21 · Cited by 1 · see citing works
Forecasting daily political opinion polls using the fractionally cointegrated VAR modelPreprint
Nielsen, M. Ø., & Shibaev, S. S. (2015) · RePEc: Research Papers in Economics · Cited by 1 · see citing works
Self-citationAnalyzing Financial Integration in East Asia through Fractional Cointegration in VolatilitiesPreprint
de Truchis, G., & Keddad, B. (2013) · RePEc: Research Papers in Economics · Cited by 1 · see citing works
Fractional Cointegration Rank EstimationPreprint
Łasak, K., & Velasco, C. (2014) · SSRN Electronic Journal · doi:10.2139/ssrn.2395195 · Cited by 1 · see citing works
Zależności długookresowe zmienności stóp zwrotu i wielkości obrotów na GPW w Warszawie
Gurgul, H., & Wójtowicz, T. (2013) · Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity MarketsPreprint
de Truchis, G., & Dubois, F. (2014) · RePEc: Research Papers in Economics
Long Memory in Volatility and Return PredictabilityPreprint
Wang, R., & Clark, S. P. (2013) · SSRN Electronic Journal · doi:10.2139/ssrn.2312414
Aloy, M., & de Truchis, G. (2015) · Computational Economics · doi:10.1007/s10614-015-9531-6
Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend BreaksPreprint
Dechert, A. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.2132523
Interdependence between Exchange Rates: Evidence from Multivariate Fractional Cointegration
Boubaker, H., & Belkacem, L. (2010) · International Journal of Business
Essays on Regional Recessions, Spatial Interactions and Forecasting
Shibaev, S. S. (2017) · QSpace (Queen's University Library)
Caporin, M., Fontini, F., & de Magistris, P. S. (2018) · SSRN Electronic Journal · doi:10.2139/ssrn.3106297
Essays on fractional cointegration and spurious long memory
Afzal, A. (2019) · Institutional Repository of Leibniz Universität Hannover (Leibniz Universität Hannover) · doi:10.15488/5334
Robust multivariate local whittle estimation and spurious fractional cointegrationPreprint
Becker, J., Leschinski, C., & Sibbertsen, P. (2019) · RePEc: Research Papers in Economics
Long memory in economic and financial time series
Κακαβάς, Χ. (2012) · Dione (University of Piraeus)
Hassler, U. (2018) · Wiley series in probability and statistics · doi:10.1002/9781119470380.biblio
A Semiparametric Analysis of the Term Structure of the US Interest Rates
Iacone, F. (2009) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2009.00546.x
- Authors
- Nielsen, M. Ø., & Shimotsu, K.
- Affiliations
- Cornell University (US)
- Queen's University (CA)
- Corresponding author
- Nielsen, Morten Ørregaard
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2007-12
- Volume
- 141
- Issue
- 2
- Pages
- 574-596
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2004917856
- Cited by
- 79
- References
- 57
- Citations by year
- 2024: 3 · 2023: 1 · 2022: 2 · 2021: 5 · 2020: 5 · 2019: 6 · 2018: 5 · 2017: 6 · 2016: 7 · 2015: 3 · 2014: 6 · 2013: 9 · 2012: 5
- FWCI
- 5.70
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Journal of Econometrics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Funders
- Yale University
- Topics
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Complex Systems and Time Series Analysis
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Keywords
- cointegration rank, fractional integration, spectral density matrix, common stochastic trends, exchange rate dynamics
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
