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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio, (2004)
Power properties of linearity tests for time series
Teräsvirta, Timo, (1990)
Modelling economic high-frequency time series with STAR-STGARCH models
Lundbergh, Stefan, (1998)
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)