Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation

Nielsen, Morten Orregaard, (2007)

Bias-Reduced Estimation of Long-Memory Stochastic Volatility

Frederiksen, Per, (2008)

Efficient inference in multivariate fractionally integrated time series models

Nielsen, Morten Orregaard, (2004)