Local Whittle Analysis of Stationary Fractional Cointegration
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Exact Local Whittle Estimation of Fractionally Cointegrated Systems
Shimotsu, Katsumi, (2010)
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Exact local Whittle estimation of fractionally cointegrated systems
Shimotsu, Katsumi, (2012)
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Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
Shimotsu, Katsumi, (2000)
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Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
Haldrup, (2005)
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Efficient Inference in Multivariate Fractionally Integrated Time Series Models
Nielsen, Morten Oerregaard,
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Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, Morten Oerregaard,
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