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Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71
Persistent link: https://www.econbiz.de/10003783785
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Fractional differencing and long memory processes
Baillie, Richard (contributor); King, Maxwell L. (contributor) - In: Journal of econometrics 73 (1996) 1
Persistent link: https://www.econbiz.de/10001206521
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A minimum distance estimator for long-memory processes
Tieslau, Margie A. - In: Journal of econometrics 71 (1996) 1, pp. 249-264
Persistent link: https://www.econbiz.de/10001194734
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Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 74 (1996) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10001755335
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Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard T.; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71
Persistent link: https://www.econbiz.de/10008143204
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Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard T.; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-72
Persistent link: https://www.econbiz.de/10008898205
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Testing for a unit root in the nonlinear STAR framework
Kapetanios, George; Shin, Yongcheol; Snell, Andy - In: Journal of econometrics 112 (2003) 2, pp. 359-379
Persistent link: https://www.econbiz.de/10001731323
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Panels with non-stationary multifactor error structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of econometrics 160 (2011) 2, pp. 326-348
Persistent link: https://www.econbiz.de/10009242244
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Adaptive forecasting in the presence of recent and ongoing structural change
Giraitis, Luidas; Kapetanios, George; Price, Simon - In: Journal of econometrics 177 (2013) 2, pp. 153-170
Persistent link: https://www.econbiz.de/10010254880
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Inference on stochastic time-varying coefficient models
Giraitis, Liudas; Kapetanios, George; Yates, Anthony - In: Journal of econometrics 179 (2014) 1, pp. 46-65
Persistent link: https://www.econbiz.de/10010258276