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Modelling cryptocurrency high–low prices using fractional cointegrating VAR

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The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis

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Central bank policy rates: Are they cointegrated?

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Long-term interest rates in Europe: A fractional cointegration analysis

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Long-run relationships between international stock prices: further evidence from fractional cointegration tests

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Level Shifts in Volatility and the Implied-Realized Volatility RelationPreprint

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A No Arbitrage Fractional Cointegration Analysis of the Range Based VolatilityPreprint

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Persistence in the Unemployment and Inflation Relationship. Evidence from 38 OECD Countries

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Are central bank policy rates in Africa cointegrated? Evidence from a fractional cointegration approach

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UNBALANCED COINTEGRATION

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Gauging the nonstationarity and asymmetries in the oil-stock price links: a multivariate analysisPreprint

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Long-term relationships

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Unemployment and Fertility: A Long Run Relationship

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CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS

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Fractional cointegration between energy imports to the EURO area and exchange rates to the US dollar

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Long Memory Cointegration in the Analysis of Maximum, Minimum and Range Temperatures in Africa: Implications for Climate Change

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Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility

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Likelihood Based Testing for No Fractional CointegrationPreprint

Łasak, K. (2008) · SSRN Electronic Journal · doi:10.2139/ssrn.1266675 · Cited by 6

Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?

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Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data

Gurgul, P., & Syrek, R. (2013) · RePEc: Research Papers in Economics · Cited by 5

Persistence of airline accidents

Barros, C. P., Faria, J. R., & Gil‐Alana, L. A. (2010) · Disasters · doi:10.1111/j.1467-7717.2010.01186.x · Cited by 5

Statistical Estimation for CAPM with Long-Memory Dependence

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The Feldstein–Horioka puzzle in South Africa: A fractional cointegration approach

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Cointegration between the structure of copper futures prices and Brexit

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Unit Roots and Structural Breaks

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Structural breaks and common factors in the volatility of the Fama–French factor portfolios

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MODELOS DE MEMORIA LARGA PARA SERIES ECONÓMICAS Y FINANCIERAS

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Capital Taxation, Globalization, and International Tax CompetitionPreprint

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Długookresowe własności wolumenu obrotów i zmienności cen akcji na przykładzie spółek z indeksu DJIA

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A bivariate fractionally cointegrated relationship in the context of cyclical structures

Gil‐Alana, L. A. (2009) · Journal of Statistical Computation and Simulation · doi:10.1080/00949650802322111 · Cited by 4

Long memory cointegration and dynamic connectedness of volatility in US dollar exchange rates, with FOREX portfolio investment strategy

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How do stocks in BRICS co-move with real estate stocks?

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Cyclical fractional cointegration

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Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach

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The structure of contemporaneous price-volume relationships in financial markets

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A test for fractional cointegration using the sieve bootstrap

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A Pure-Jump Transaction-Level Price Model Yielding Cointegration

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Noncontemporaneous cointegration and the importance of timing

Nielsen, M. Ø. (2004) · Economics Letters · doi:10.1016/j.econlet.2004.07.004 · Cited by 4

Local Whittle Analysis of Stationary Fractional CointegrationPreprint

Nielsen, M. Ø. (2002) · RePEc: Research Papers in Economics · Cited by 4

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

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Consumer sentiments across G7 and BRICS economies: Are they related?

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Persistence and Long Memory Behavior in Condominium Prices: Evidence from Major U.S. Metropolitan Areas

Payne, J. E., & Gil‐Alana, L. A. (2020) · Journal of Housing Research · doi:10.1080/10527001.2020.1826663 · Cited by 3

A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models

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Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour

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Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

da Silva, A. G., & Robinson, P. M. (2008) · Econometric Reviews · doi:10.1080/07474930701873382 · Cited by 3

Currency Union in the East African Community: A Fractional Integration Approach

Cárcel, H., Gil‐Alana, L. A., & Madigu, G. A. (2016) · Advances in African economic, social and political development · doi:10.1007/978-3-319-30432-8_3 · Cited by 3

Exchange rate dynamics and monetary unions in Africa: A fractional integration and cointegration analysis

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Testing for no cointegration in vector autoregressions with estimated degree of fractional integration

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Fractional Cointegration

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A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects

Hurvich, C. M., & Wang, Y. (2006) · Munich Personal RePEc Archive (Ludwig Maximilian University of Munich) · Cited by 3

Consistent Local Spectrum (LCM) Inference for Predictive Return RegressionsPreprint

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Measuring macroeconomic convergence and divergence within EMU using long memory

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The long-run relationship between the Italian day-ahead and balancing electricity prices

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A Novel Approach for Testing Fractional Cointegration in Panel Data Models with Fixed Effects

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Integration and Disintegration of EMU Government Bond Markets

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Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates

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An omnibus noise filter

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Long-Term Relationships between the Stock Exchanges in Frankfurt, Vienna and Warsaw

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INFRASTRUCTURE DETERIORATION PROCESS MODELING BY TIME-SERIES DATA WITH LONG MEMORY

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A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects

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Testing for the Equality of Integration Orders of Multiple Series

Wang, M., & Chan, N. H. (2016) · Econometrics · doi:10.3390/econometrics4040049 · Cited by 2

Fractional Integration and Cointegration: Testing the Term Structure of Interest RatesPreprint

Barassi, M. R., & Zhang, D. (2009) · RePEc: Research Papers in Economics · Cited by 2

The long memory story of real interest rates.: Can it be supported?Preprint

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Linkages between the US and European Stock Markets: A Fractional Cointegration ApproachPreprint

Caporale, G. M., Gil‐Alana, L. A., & Orlando, C. (2015) · SSRN Electronic Journal · doi:10.2139/ssrn.2580226 · Cited by 2

Wavelet eigenvalue regression for $n$-variate operator fractional Brownian motionPreprint

Abry, P., & Didier, G. (2017) · arXiv (Cornell University) · doi:10.48550/arxiv.1708.03359 · Cited by 2

Fractional Cointegration Rank Estimation

Łasak, K., & Velasco, C. (2014) · Journal of Business and Economic Statistics · doi:10.1080/07350015.2014.945589 · Cited by 1

An investigation into the relationship between sugarcane and grain prices in Brazil: a fractional cointegration approach

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Bayesian Tapered Narrowband Least Squares for Fractional Cointegration Testing in Panel Data

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Statistical Inference for Nonstationary Processes

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MEASURING INFRASTRUCTURE PRODUCTIVITY WITH REFERENCE TO LONG PERSISTENT EFFECTS

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Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries

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Mozambique Metical Exchange Rate Dynamics: Evidence of Fractional Co‐Integration in the USA and South African Rates

Barros, C. P., Gil‐Alana, L. A., & Faria, J. R. (2015) · South African Journal of Economics · doi:10.1111/saje.12078 · Cited by 1

Statistical Inference for Stationary Processes

Beran, J., Feng, Y., Ghosh, S., & Kulik, R. (2013) · Springer eBooks · doi:10.1007/978-3-642-35512-7_5 · Cited by 1

Inflation analysis in the Central American Monetary Council

Cárcel, H., & Gil‐Alana, L. A. (2017) · Empirical Economics · doi:10.1007/s00181-016-1223-0 · Cited by 1

Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

Balboa, M., Rodrigues, P. M. M., Rubia, A., & Taylor, R. (2021) · Journal of Applied Econometrics · doi:10.1002/jae.2829 · Cited by 1

The permanent income hypothesis: A new framework based on fractional integration and cointegration

Gil‐Alana, L. A. (2004) · International Advances in Economic Research · doi:10.1007/bf02296212 · Cited by 1

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

Testing for substitutability in the mackerel market: a new method using fractional cointegration

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Volatility Transmission across Financial Markets: A Semiparametric Analysis

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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

Fractional cointegration in the consumption and income relationship using semiparametric techniques

Gil‐Alana, L. A. (2004) · RePEc: Research Papers in Economics · Cited by 1

Analyzing Financial Integration in East Asia through Fractional Cointegration in VolatilitiesPreprint

de Truchis, G., & Keddad, B. (2013) · RePEc: Research Papers in Economics · Cited by 1

Fractional Cointegration Rank EstimationPreprint

Łasak, K., & Velasco, C. (2014) · SSRN Electronic Journal · doi:10.2139/ssrn.2395195 · Cited by 1

A Wavelet-Based Analysis of Commodity Futures Markets

Power, G. J. (2007) · eCommons (Cornell University) · Cited by 1

Testing the Null Hypothesis of no Cointegration against Seasonal Fractional Cointegration

Gil‐Alana, L. A. (2008) · Cited by 1

Fractional Integration and Cointegration in US Financial Time Series DataPreprint

Caporale, G. M., & Gil‐Alana, L. A. (2011) · SSRN Electronic Journal · doi:10.2139/ssrn.1815129 · Cited by 1

Linkages between the US and European Stock Markets: A Fractional Cointegration ApproachPreprint

Caporale, G. M., Gil‐Alana, L. A., & Orlando, C. (2015) · SSRN Electronic Journal · doi:10.2139/ssrn.2664493 · Cited by 1

Long-run properties of trading volume and volatility of equities listed in DJIA index

Gurgul, H., & Wójtowicz, T. (2006) · RePEc: Research Papers in Economics

Long Memory Models and Tests for Cointegration: A Synthesizing StudyPreprint

Smallwood, A. D., & Norrbin, S. C. (2002) · RePEc: Research Papers in Economics

Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity MarketsPreprint

de Truchis, G., & Dubois, F. (2014) · RePEc: Research Papers in Economics

Non parametric Fractional Cointegration AnalysisPreprint

Cerqueti, R., & Costantini, M. (2007) · 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

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

Determination of cointegrating ranking fractional systems

Robinson, P. M., & Yajima, Y. (2002)

Spectral analysis of fractionally cointegrated systems

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