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Adaptive ARFIMA models with applications to inflation
Baillie, Richard; Morana, Claudio - In: Economic modelling 29 (2012) 6, pp. 2451-2459
Persistent link: https://www.econbiz.de/10009673677
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The long memory of the forward premium
Baillie, Richard - In: Journal of international money and finance 13 (1994) 5, pp. 565-571
Persistent link: https://www.econbiz.de/10001171001
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A minimum distance estimator for long-memory processes
Tieslau, Margie A. - In: Journal of econometrics 71 (1996) 1, pp. 249-264
Persistent link: https://www.econbiz.de/10001194734
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Approximating long-memory processes with low-order autoregressions : implications for modeling realized volatility
Baillie, Richard; Cho, Dooyeon; Rho, Seunghwa - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2911-2937
Persistent link: https://www.econbiz.de/10014329017
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Estimation and inference for impulse response functions from univariate strongly persistent processes
Baillie, Richard; Kapetanios, George - In: The econometrics journal 16 (2013) 3, pp. 373-399
Persistent link: https://www.econbiz.de/10010253634