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Journal of Statistical Computation and Simulation Volume 80, 2010 - Issue 2
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Original Articles

Fractional integration and data frequency

Guglielmo Maria Caporale Centre for Empirical Finance, Brunel University, LondonCorrespondence[email protected]
&
Luis A. Gil-Alana University of Navarra, Pamplona, Spain
Pages 121-132 | Received 24 Jun 2008, Published online: 04 Feb 2009

Citations (11)

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Read on this site (2)

Guglielmo Maria Caporale & Alex Plastun. (2024) Persistence in high frequency financial data: the case of the EuroStoxx 50 futures prices. Cogent Economics & Finance 12:1.
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Luis A. Gil-Alana, Antonio Moreno & Seonghoon Cho. (2012) The Deaton paradox in a long memory context with structural breaks. Applied Economics 44:25, pages 3309-3322.
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Articles from other publishers (9)

Giorgio Canarella, Luis A. Gil-Alana, Rangan Gupta & Stephen M. Miller. (2018) Modeling US historical time-series prices and inflation using alternative long-memory approaches. Empirical Economics 58:4, pages 1491-1511.
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Guglielmo Maria Caporale & Luis A. Gil-Alana. (2017) Persistence and cycles in the us federal funds rate. International Review of Financial Analysis 52, pages 1-8.
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Christian Dunis, Neil M. Kellard & Stuart Snaith. (2013) Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance 37:12, pages 4943-4957.
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Guglielmo Maria Caporale & Luis A. Gil-Alana. (2013) Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate. International Review of Financial Analysis 29, pages 1-9.
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Guglielmo Maria Caporale & Luis A. Gil-Alana. (2012) Long memory in US real output per capita. Empirical Economics 44:2, pages 591-611.
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Luis A. Gil-Alana & Antonio Moreno. (2011) Fractional integration and structural breaks in U.S. macro dynamics. Empirical Economics 43:1, pages 427-446.
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Adam Ruschka, Martin Janíčko & Helena Chytilová. (2022) Dynamic Panel Estimation of the Deaton Paradox. SSRN Electronic Journal.
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Giorgio Canarella, Luis A. Gil-Alana, Rangan Gupta & Stephen M. Miller. (2016) Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches. SSRN Electronic Journal.
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Guglielmo Maria Caporale & Luis A. Gil-Alana. (2013) Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate. SSRN Electronic Journal.
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