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Wavelet-based test of co-movement and causality between oil and renewable energy stock prices

Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Energy economics 61 (2017), pp. 241-252

Persistent link: https://www.econbiz.de/10011737787

The power of residual-based tests for cointegration when residuals are fractionally integrated

Krämer, Walter; Mármol, Francesc - 1998

Persistent link: https://www.econbiz.de/10010438727

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Valasco, Carlos - In: Journal of econometrics 130 (2006) 1, pp. 165-207

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Consistent testing of cointegrating relationships

Mármol, Francesc; Velasco, Carlos - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 6, pp. 1809-1844

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Out-of-sample forecast errors in misspecific perturbed long memory processes

Arranz, Miguel A.; Mármol, Francesc - In: Statistical papers 42 (2001) 4, pp. 423-436

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The power of residual-based tests for cointegration when residuals are fractionally integrated

Krämer, Walter; Mármol, Francesc - In: Economics letters 82 (2004) 1, pp. 63-69

Persistent link: https://www.econbiz.de/10001877554

The power of residual-based tests for cointegration when residuals are fractionally integrated

Krämer, Walter; Mármol, Francesc - 1999

Persistent link: https://www.econbiz.de/10001398381

Instrumental variable interpretation of cointegration with inference results for fractional cointegration

Mármol, Francesc; Escribano, Álvaro; Aparicio, Felipe M. - In: Econometric theory 18 (2002) 3, pp. 646-672

Persistent link: https://www.econbiz.de/10001673447

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10001751669

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

Persistent link: https://www.econbiz.de/10011524765