Generalized long memory processes, failure of cointegration tests and exchange rate dynamics

Aaron D. Smallwood; Stefan C. Norrbin

doi:10.1002/jae.857

Generalized long memory processes, failure of cointegration tests and exchange rate dynamics

Journal of Applied Econometrics ◽

10.1002/jae.857 ◽

2006 ◽

Vol 21 (4) ◽

pp. 409-417 ◽

Cited By ~ 3

Author(s):

Aaron D. Smallwood ◽

Stefan C. Norrbin

Keyword(s):

Exchange Rate ◽

Long Memory ◽

Memory Processes ◽

Exchange Rate Dynamics ◽

Cointegration Tests ◽

Long Memory Processes

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Long-Memory Processes and Exchange Rate Forecasting

Nonconvex Optimization and Its Applications - Bayesian Heuristic Approach to Discrete and Global Optimization ◽

10.1007/978-1-4757-2627-5_6 ◽

1997 ◽

pp. 83-117

Author(s):

Jonas Mockus ◽

William Eddy ◽

Audris Mockus ◽

Linas Mockus ◽

Gintaras Reklaitis

Keyword(s):

Exchange Rate ◽

Long Memory ◽

Exchange Rate Forecasting ◽

Memory Processes ◽

Long Memory Processes

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Semiparametric Inference in Seasonal and Cyclical Long Memory Processes

Journal of Time Series Analysis ◽

10.1111/1467-9892.00170 ◽

2000 ◽

Vol 21 (1) ◽

pp. 1-25 ◽

Cited By ~ 80

Author(s):

Josu Arteche ◽

Peter M. Robinson

Keyword(s):

Long Memory ◽

Memory Processes ◽

Semiparametric Inference ◽

Long Memory Processes

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Modelling international monthly arrivals using seasonal univariate long-memory processes

Tourism Management ◽

10.1016/j.tourman.2004.05.003 ◽

2005 ◽

Vol 26 (6) ◽

pp. 867-878 ◽

Cited By ~ 53

Author(s):

L.A. Gil-Alana

Keyword(s):

Long Memory ◽

Memory Processes ◽

Long Memory Processes

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Statistics for Long-Memory Processes

Technometrics ◽

10.1080/00401706.1997.10485452 ◽

1997 ◽

Vol 39 (1) ◽

pp. 105-106

Author(s):

Jeffrey Glosup

Keyword(s):

Long Memory ◽

Memory Processes ◽

Long Memory Processes

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Long-Memory Processes

10.1007/978-3-642-35512-7 ◽

2013 ◽

Cited By ~ 164

Author(s):

Jan Beran ◽

Yuanhua Feng ◽

Sucharita Ghosh ◽

Rafal Kulik

Keyword(s):

Long Memory ◽

Memory Processes ◽

Long Memory Processes

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Inference for estimators of generalized long memory processes

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2021.2007399 ◽

2022 ◽

pp. 1-20

Author(s):

Paul M. Beaumont ◽

Aaron D. Smallwood

Keyword(s):

Long Memory ◽

Memory Processes ◽

Long Memory Processes

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Purchasing power parity: Evidence of long memory processes and fractional integration

Decision Science Letters ◽

10.5267/j.dsl.2015.3.003 ◽

2015 ◽

pp. 397-406 ◽

Cited By ~ 1

Author(s):

Nadhem Selmi ◽

Nejib Hachicha

Keyword(s):

Purchasing Power Parity ◽

Long Memory ◽

Fractional Integration ◽

Purchasing Power ◽

Power Parity ◽

Memory Processes ◽

Long Memory Processes

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First Passage Distributions for Long Memory Processes

Processes with Long-Range Correlations - Lecture Notes in Physics ◽

10.1007/3-540-44832-2_9 ◽

2003 ◽

pp. 167-180 ◽

Cited By ~ 4

Author(s):

Govindan Rangarajan ◽

Mingzhou Ding

Keyword(s):

Long Memory ◽

First Passage ◽

Memory Processes ◽

Long Memory Processes

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Multi-step forecasting for long-memory processes

Journal of Forecasting ◽

10.1002/(sici)1099-131x(199901)18:1<59::aid-for711>3.0.co;2-v ◽

1999 ◽

Vol 18 (1) ◽

pp. 59-75 ◽

Cited By ~ 28

Author(s):

Julia Brodsky ◽

Clifford M. Hurvich

Keyword(s):

Long Memory ◽

Memory Processes ◽

Long Memory Processes

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Spurious regressions between stationary generalized long memory processes

Economics Letters ◽

10.1016/j.econlet.2005.10.009 ◽

2006 ◽

Vol 90 (3) ◽

pp. 446-454 ◽

Cited By ~ 9

Author(s):

Yixiao Sun

Keyword(s):

Long Memory ◽

Memory Processes ◽

Long Memory Processes

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