The 16 references in paper John Barkoulas, Christopher F. Baum (1996) “Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates” / RePEc:boc:bocoec:317

1
Agiakloglou, C., P. Newbold, and M. Wohar, 1993, Bias in an estimator of the fractional difference parameter, Journal of Time Series Analysis, 14, 235246.
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2
Barkoulas, J. T. and C. F. Baum, 1996, Long term dependence in stock returns, Economic Letters, forthcoming.
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3
Barkoulas, J. T., W. C. Labys, and J. Onochie, 1996, Long memory in futures prices, Financial Review, forthcoming.
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4
Cheung, Y. W., 1993a, Long memory in foreign-exchange rates, Journal of Business and Economic Statistics, 11, 93-101.
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5
Cheung, Y. W., 1993b, Tests for fractional integration: A Monte Carlo investigation, Journal of Time Series Analysis, 14, 331-345.
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6
Fang, H., K. S. Lai and M. Lai, 1994, Fractal structure in currency futures prices, Journal of Futures Markets, 14, 169-181.
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7
Geweke J. and S. Porter-Hudak, 1983, The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-238.
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8
Granger, C. W. J. and R. Joyeux, 1980, An introduction to long-memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15-39.
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9
Greene, M. T. and B. D. Fielitz, 1977, Long-term dependence in common stock returns, Journal of Financial Economics, 5, 339-349.
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10
Hassler, U., 1993, Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis, 14, 369-380.
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11
Hosking, J. R. M., 1981, Fractional differencing, Biometrika, 68, 165-176.
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12
Lo, A. W., 1991, Long-term memory in stock market prices, Econometrica, 59, 1279-1313. -14-
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13
Ray, B., 1993, Long range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model, International Journal of Forecasting, 9, 255-269.
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14
Robinson, P., 1990, Time series with strong dependence, Advances in Econometrics, 6th World Congress (Cambridge: Cambridge University Press).
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15
Sowell, F., 1992, Maximum likelihood estimation of stationary univariate fractionally-integrated time-series models, Journal of Econometrics, 53, 165-188.
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16
Wright, J. H., 1995, Stochastic orders of magnitude associated with two-stage estimators of fractional ARIMA systems, Journal of Time Series Analysis, 16, 119-125. -15-
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