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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio, (2004)
Unobservable cyclical components in term premia of fixed-term financial instruments
MacDonald, Alexander David, (1993)
Nonparametric detection and estimation of structural change
Kristensen, Dennis, (2011)
Modified rainbow tests
Burke, Simon P., (1990)
Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
Burke, Simon P., (1996)
Arbitrage, market definition and monitoring a time series approach
Burke, Simon P., (2012)