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Testing for neglected nonlinearity in long memory models

Baillie, Richard (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808664

Nonlinear models with strongly dependent processes and applications to forward premia and real exchange rates

Baillie, Richard (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003370465

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

Testing for neglected nonlinearity in long-memory models

Baillie, Richard; Kapetanios, George - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 447-461

Persistent link: https://www.econbiz.de/10003566060

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143

Persistent link: https://www.econbiz.de/10011300500

Inference for impulse response coefficients from multivariate fractionally integrated processes

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84

Persistent link: https://www.econbiz.de/10011794639

On the estimation of short memory components in long memory time series models

Baillie, Richard; Kapetanios, George - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 365-375

Persistent link: https://www.econbiz.de/10011649095

Parametric vs. semiparametric long memory : comments on "Prediction from ARFIMA models : Comparison between MLE and semiparametric estimation"

Arteche, Josu - In: International journal of forecasting 28 (2012) 1, pp. 54-56

Persistent link: https://www.econbiz.de/10009581402

Prediction from ARFIMA models : comparisons between MLE and semiparametric estimation procedures

Baillie, Richard; Chaleampong Kongcharoen; Kapetanios, … - In: International journal of forecasting 28 (2012) 1, pp. 46-53

Persistent link: https://www.econbiz.de/10009581412

Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes

Baillie, Richard - 2014

This paper considers a multivariate system of fractionally integrated time series and investigates the most appropriate way for estimating Impulse Response (IR) coefficients and their associated confidence intervals. The paper extends the univariate analysis recently provided by Baillie and...

Persistent link: https://www.econbiz.de/10013053179