Cited in
(28)- Efficient inference in multivariate fractionally integrated time series models
- Type I and type II fractional Brownian motions: a reconsideration
- Estimation of fractional integration in the presence of data noise
- Variable selection in time series forecasting using random forests
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Climate time series analysis. Classical statistical and bootstrap methods
- Ox
- SsfPack
- TSM
- longmemo
- CLIM-X-DETECT
- CYSTRATI
- TAUEST
- WinGeol Lamination
- fpp
- The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
- Biases in the simulation and analysis of fractal processes
- A permanent-transitory decomposition for ARFIMA processes
- ARFIMAX and ARFIMAX-TARCH realized volatility modeling
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- Generating univariate fractional integration within a large VAR(1)
- Overlaying time scales in financial volatility data
- Asymptotic inference results for multivariate long‐memory processes
- Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Nonlinearities in the exchange rates returns and volatility
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