The 30 references in paper John Barkoulas, Christopher F. Baum (1996) “Fractional Dynamics in Japanese Financial Time Series” / RePEc:boc:bocoec:334

1
Akella, S. R. and A. Patel, 1991, Are international real rates of interest cointegrated? Evidence from the recent floating exchange rate period, unpublished manuscript, University of Missouri.
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2
Aydogan, K. and G. G. Booth, 1988, Are there long cycles in common stock returns?, Southern Economic
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3
Baillie, R., 1996, Long memory processes and fractional integration in econometrics, Journal of Econometrics 73, 5-59.
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4
Baillie, R. and T. Bollerslev, 1994, The long memory of the forward premium, Journal of International Money and Finance 13, 565-571.
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5
Barkoulas, J. T. and C. F. Baum, 1996, Long term dependence in stock returns, Economics Letters,
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6
Barkoulas, J. T., W. C. Labys, and J. Onochie, 1997a, Long memory in futures prices, Financial Review,
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7
Barkoulas, J. T., W. C. Labys, and J. Onochie, 1997b, Fractional dynamics in international commodity prices, Journal of Futures Markets 17, 161-189.
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8
Booth, G. G., F. R. Kaen and P. E. Koveos, 1982, R/S analysis of foreign exchange markets under two international monetary regimes, Journal of Monetary Economics 10, 407-415.
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9
Brenner, R. and K. Kroner, 1995, Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets, Journal of Financial and
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10
Quantitative Analysis 30, 23-42.
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11
Cheung, Y. W., 1993, Long memory in foreign-exchange rates, Journal of Business and Economic Statistics 11, 93-101.
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12
Cheung, Y. and K. Lai, 1993, Do gold market returns have long memory? Financial Review 28, 181-202. -11-
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13
Cheung, Y. and K. Lai, 1995, A search for long memory in international stock market returns, Journal of International Money and Finance 14, 597-615.
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14
Cheung, Y. W., K. S. Lai and M. Lai, 1993, Are there long cycles in foreign stock returns? Journal of International Financial Markets, Institutions and Money 3, 33-47.
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15
Crato, N., 1994, Some international evidence regarding the stochastic memory of stock returns, Applied Financial Economics 4, 33-39.
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16
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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17
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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18
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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19
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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20
Helms, B. P., F. R. Kaen and R. E. Rosenman, 1984, Memory in commodity futures contracts, Journal of Futures Markets 4, 559-567.
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21
Hosking, J. R. M., 1981, Fractional Differencing, Biometrika 68, 165-176.
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22
Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics 54, 159-178.
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23
Lo, A. W., 1991, Long-term memory in stock market prices, Econometrica 59, 12791313.
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24
Mandelbrot, B. B., 1971, When can a price be arbitraged efficiently? a limit to the validity of the random walk and martingale models, Review of Economics and Statistics 53, 225-236. -12-
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25
Mandelbrot, B. B., 1977, Fractals: Form, Chance, and Dimension (Free Press, New York).
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26
Phillips, P.C.B., 1987, Time series regression with a unit root. Econometrica 55, 277301.
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27
Phillips, P.C.B. and P. Perron, 1988, Testing for a unit root in time series regression. Biometrika 75, 335-346.
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28
Robinson, P., 1995a, Log-periodogram regression of time series with long range dependence, Annals of Statistics 13, 1048-1072.
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29
Robinson, P., 1995b, Gaussian semiparametric estimation of long range dependence, Annals of Statistics 13, 1630-1661.
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30
Yajima, Y., 1985, On the estimation of long memory time series models, Australian Journal of Statistics 27, 303-320. -13-
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