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A vector autoregressive model for electricity prices subject to long memory and regime switching

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Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation

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Gold prices and the cryptocurrencies: Evidence of convergence and cointegration

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Identifying cointegration by eigenanalysis

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On the Predictability of Stock Prices: a Case for High and Low Prices

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Spectral analysis of fractionally cointegrated systems

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Consistent Testing of Cointegrating Relationships

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Exact local Whittle estimation of fractionally cointegrated systems

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The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration

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A fractional cointegration var analysis of exchange rate dynamics

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Is the US fiscal deficit sustainable?

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Semiparametric Estimation of Multivariate Fractional Cointegration

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Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach

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International competition in corporate taxation: evidence from the OECD time series

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Multivariate modelling of long memory processes with common components

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Sanctions and Russian online prices

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Economic Policy Uncertainty: Persistence and Cross-Country Linkages

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Computationally efficient methods for two multivariate fractionally integrated models

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Testing the validity of the tourism-led growth hypothesis under long-range dependence

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Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR

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Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach

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Diagnostic testing for cointegration

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Volatility of interest rates in the euro area: Evidence from high frequency data

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Testing the M arshall– L erner Condition in K enya

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Cointegration in Fractional Systems with Unkown Integration Orders

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Forecasting Daily Political Opinion Polls Using the Fractionally Cointegrated Vector Auto-Regressive Model

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A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION

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On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition

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The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks

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Global CO2 emissions and global temperatures: Are they related

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FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS*

Caporale, G. M., & Gil‐Alana, L. A. (2005) · Manchester School · doi:10.1111/j.1467-9957.2005.00475.x · Cited by 23 · see citing works

Frequency domain principal components estimation of fractionally cointegrated processes

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On the linkages between Africa’s emerging equity markets and global markets: Evidence from fractional integration and cointegration

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A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges

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Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime SwitchingPreprint

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Energy commodities and advanced stock markets: A post-crisis approach

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ETA: A PERSISTENT PHENOMENON

Barros, C. P., & Gil‐Alana, L. A. (2006) · Defence and Peace Economics · doi:10.1080/10242690500464214 · Cited by 21 · 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

Wavelet eigenvalue regression for n -variate operator fractional Brownian motion

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A multivariate test against spurious long memory

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A simple test for the equality of integration orders

Hualde, J. (2013) · Economics Letters · doi:10.1016/j.econlet.2013.03.003 · Cited by 21 · see citing works

Inflation and monetary dynamics in the USA: a quantity-theory approach

Morana, C., & Bagliano, F. C. (2006) · Applied Economics · doi:10.1080/00036840500428047 · Cited by 21 · see citing works

How fearful are commodities and US stocks in response to global fear? Persistence and cointegration analyses

Yaya, O. S., Gil‐Alana, L. A., Adekoya, O. B., & Vo, X. V. (2021) · Resources Policy · doi:10.1016/j.resourpol.2021.102273 · Cited by 20 · see citing works

Maximum Likelihood Estimation of Fractionally Cointegrated SystemsPreprint

Łasak, K. (2008) · SSRN Electronic Journal · doi:10.2139/ssrn.1267081 · Cited by 20 · see citing works

Comovements in volatility in the euro money market

Morana, C., & Cassola, N. (2010) · BOA (University of Milano-Bicocca) · doi:10.1016/j.jimonfin.2009.07.003 · Cited by 18 · see citing works

A structural common factor approach to core inflation estimation and forecasting

Morana, C. (2007) · Applied Economics Letters · doi:10.1080/13504850500425147 · Cited by 18 · see citing works

Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates

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

A small scale macroeconometric model for the Euro-12 area

Morana, C. (2006) · Economic Modelling · doi:10.1016/j.econmod.2005.12.001 · Cited by 17 · see citing works

The Estimation and Testing of the Cointegration Order Based on the Frequency Domain

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Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination

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Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis

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

Empirical evidence on convergence across Brazilian States

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ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATIONPreprint

Hualde, J., & Robinson, P. M. (2002) · RePEc: Research Papers in Economics · Cited by 15 · see citing works

Fractional integration and cointegration in US financial time series data

Caporale, G. M., & Gil‐Alana, L. A. (2013) · Empirical Economics · doi:10.1007/s00181-013-0780-8 · Cited by 14 · see citing works

Spatial Integration in the Spanish Mackerel Market

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Two-step wavelet-based estimation for Gaussian mixed fractional processes

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Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach

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FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS

da Silva, A. G., & Robinson, P. M. (2008) · Econometric Theory · doi:10.1017/s0266466608080481 · Cited by 14 · see citing works

Periodic Heteroskedastic Regarfima Models for Daily Electricity Spot PricesPreprint

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A Semiparametric Analysis of the Term Structure of the US Interest Rates*

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GDP and population growth: Evidence of fractional cointegration with historical data from 1820 onwards

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SEMIPARAMETRIC ESTIMATION OF LONG-MEMORY MODELS

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Long Memory on the German Stock Exchange

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Long Memory and Tail Dependence in Trading Volume and VolatilityPreprint

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Instrumental variables estimation of stationary and non‐stationary cointegrating regressions

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Estimation of long-run parameters in unbalanced cointegration

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Fractional integration and cointegration in merger and acquisitions in the US petroleum industry

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Modeling Short-Term Interest Rate Spreads in the Euro Money Market

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Semiparametric estimation of fractional cointegrating subspaces

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The Wold Representation, Degree of Non-Cointegration, and the Johansen Trace TestPreprint

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Common Trends, Cointegration and Competitive Price BehaviourPreprint

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Semiparametric estimation of the cointegrating rank in fractional cointegrationPreprint

Hualde, J. (2026) · SSRN Electronic Journal · doi:10.2139/ssrn.7615295

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

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Estimation of the cointegrating rank in fractional cointegrationPreprint

Hualde, J. (2012) · RePEc: Research Papers in Economics · Cited by 1 · see citing works

Determination of cointegrating ranking fractional systems

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Spectral analysis of fractionally cointegrated systems

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