The 36 references in paper John Barkoulas, Christopher F. Baum (1997) “Long Memory and Forecasting in Euroyen Deposit Rates” / RePEc:boc:bocoec:361

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
Aydogan, K. and G. G. Booth (1988), Are there long cycles in common stock returns?, Southern Economic Journal, 55, 141-149.
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3
Barkoulas, J. T. and C. F. Baum (1997), Long term dependence in stock returns, Economics Letters, forthcoming.
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4
Barkoulas, J. T., W. C. Labys, and J. Onochie (1997a), Long memory in futures prices, Financial Review, forthcoming.
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5
Barkoulas, J. T., W. C. Labys, and J. Onochie (1997b), Fractional dynamics in international commodity prices, Journal of Futures Markets, forthcoming.
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6
Bhar, R. (1994), Testing for long-term memory in yen/dollar exchange rate, Financial Engineering and
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7
Booth, G. G., F. R. Kaen and P. E. Koveos (1982a), R/S analysis of foreign exchange markets under two international monetary regimes, Journal of
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8
Monetary Economics, 10, 407-415.
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9
Booth, G. G., F. R. Kaen and P. E. Koveos (1982b), Persistent dependence in gold prices, Journal of Financial Research, 5, 85-93.
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10
Cheung, Y. W. (1993a), Long memory in foreign-exchange rates, Journal of Business and Economic Statistics, 11, 93-101.
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11
Cheung, Y. W. (1993b), Tests for fractional integration: A Monte Carlo investigation, Journal of Time Series Analysis , 14, 331-345.
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12
Cheung, Y. and K. Lai (1993), Do gold market returns have long memory?
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13
Financial Review, 28, 181-202.
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14
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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15
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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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
Fuller W. (1976), Introduction to Statistical Time Series, New York: John Wiley & Sons.
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18
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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19
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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20
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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21
Hassler, U. (1993), Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis, 14, 369-380.
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22
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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23
Hosking, J. R. M. (1981), Fractional Differencing, Biometrika, 68, 165-176.
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24
Hurvich, C. M. and K. I. Beltrao (1993), Asymptotics for the low-frequency ordinates of the periodogram of a long-memory time series, Journal of
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25
Time Series Analysis, 14, 455-472.
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26
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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27
Lee, D. and P. Schmidt (1996), On the power of the KPSS test of stationarity against fractionally-integrated alternatives, Journal of Econometrics, 73, 285-302.
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28
Lo, A. W. (1991), Long-term memory in stock market prices, Econometrica, 59, 1279-1313.
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29
Mandelbrot, B. B. (1977), Fractals: Form, Chance, and Dimension, New York: Free Press.
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30
Newey, W. and K. West (1987), A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708.
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31
Phillips, P. C. B. (1987), Time Series Regression with a Unit Root, Econometrica, 55, 277-301.
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32
Phillips, P. C. B. and P. Perron (1988), Testing for a Unit Root in Time Series
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33
Regression, Biometrika, 75, 335-346.
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34
Robinson, P. (1990), Time series with strong dependence, Advances in Econometrics, 6th World Congress (Cambridge: Cambridge University Press).
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35
Robinson, P. (1992), Semiparametric analysis of long-memory time series, Annals of Statistics, 22, 515-539.
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36
Robinson, P. (1995), Log-periodogram regression of time series with long range dependence, Annals of Statistics, 23, 1048-1072.
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