The 26 references in paper John T. Barkoulas, Christopher F. Baum, Mustafa Caglayan, Atreya Chakraborty (1998) “Persistent Dependence in Foreign Exchange Rates? A Reexamination” / RePEc:boc:bocoec:377

1
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2
Baillie, R. (1996), Long memory processes and fractional integration in econometrics, Journal of Econometrics, 73, 5-59.
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3
Baillie, R. and T. Bollerslev (1989), Common stochastic trends in a system of exchange rates, Journal of Finance, 44, 167-181.
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4
Barkoulas, J. and C. F. Baum (1997), Fractional differencing modeling and forecasting of Eurocurrency deposit rates, Journal of Financial Research, 20(3), 355-372.
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5
Barkoulas, J., W. Labys, and J. Onochie (1997), Fractional dynamics in international commodity prices, Journal of Futures Markets, 17(2), 735-755.
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6
Barkoulas, J., W. Labys, and J. Onochie (1999), Long memory in futures prices, Financial Review, 34, 91-100.
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7
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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8
Cheung, Y. W. (1993), Long memory in foreign-exchange rates, Journal of Business and
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9
Economic Statistics, 11, 93-101.
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10
Chung, C.-F. and R. T. Baillie (1993), Small sample bias in conditional sum of squares estimators of fractionally integrated ARMA models, Empirical Economics, 18, 791806.
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11
Diebold, F. and J. Nason (1990), Nonparametric exchange rate prediction?, Journal of
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12
International Economics, 28, 315-332.
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13
Engel, C. and J. D. Hamilton (1990), Long swings in the dollar: Are they in the data and do markets know it?, American Economic Review, 80, 689-713.
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14
Fox, R. and M. S. Taqqu (1986), Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series, Annals of Statistics, 14, 517532.
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15
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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16
Henry M. and Robinson P. M. (1999), Bandwidth choice in Gaussian semiparametric estimation of long range dependence, working paper, Department of Economics, London School of
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17
Hosking, J. R. M. (1981), Fractional Differencing, Biometrika, 68, 165-176.
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18
Kuan, C-M. and T. Liu (1995), Forecasting exchange rates using feedforward and recurrent neural networks, Journal of Applied Econometrics, 10, 347-364.
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19
Lo, A. W. (1991), Long-term memory in stock market prices, Econometrica, 59, 1279-1313.
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20
Mandelbrot, 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.
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21
Meese, R. A. and A. K. Rose (1990), Nonlinear, nonparametric, nonessential exchange rate estimation, American Economic Review Papers and Proceedings, 80, 192-196.
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22
Meese, R. A. and A. K. Rose (1991), An empirical assessment of nonlinearities in models of exchange rate determination, Review of Economic Studies, 80, 192-196.
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23
Robinson, P. (1995), Gaussian semiparametric estimation of long range dependence, Annals of Statistics, 13, 1630-1661.
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24
Robinson, P. and M. Henry (1999), Long memory conditionally heteroscedastic errors in semiparametric estimation of long memory, working paper, Department of
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25
Economics, London School of Economics.
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26
Sowell, F. (1992), Maximum likelihood estimation of stationary univariate fractionallyintegrated time-series models, Journal of Econometrics, 53, 165-188.
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