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Cointegration in Fractional Systems with Unknown Integration Orders

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Recent Advances in Cointegration Analysis

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Diagnostic testing for cointegration

Robinson, P. M. (2007) · Journal of Econometrics · doi:10.1016/j.jeconom.2007.08.015 · Cited by 28

Likelihood based testing for no fractional cointegration

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Cointegration in fractional systems with deterministic trends

Robinson, P. M., & Iacone, F. (2004) · Journal of Econometrics · doi:10.1016/j.jeconom.2004.09.009 · Cited by 27

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

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Cointegration in Fractional Systems with Unkown Integration Orders

Hualde, J. (2003) · London School of Economics and Political Science Research Online (London School of Economics and Political Science) · Cited by 25

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

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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

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, C. (2004) · Applied Economics Letters · doi:10.1080/1350485042000261298 · Cited by 23

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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

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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

Wavelet eigenvalue regression for n -variate operator fractional Brownian motion

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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

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

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Maximum Likelihood Estimation of Fractionally Cointegrated SystemsPreprint

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

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

A structural common factor approach to core inflation estimation and forecasting

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

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A small scale macroeconometric model for the Euro-12 area

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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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Fractional integration and cointegration in US financial time series data

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Spatial Integration in the Spanish Mackerel Market

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FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS

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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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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

Rossi, E., & de Magistris, P. S. (2009) · SSRN Electronic Journal · doi:10.2139/ssrn.1434789 · Cited by 11

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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Spectral analysis of fractionally cointegrated systems

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