Comment

Journal of Business and Economic Statistics

Volumn 16, Issue 3, 1998, Pages 276-279

  Robinson, P M ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011188535     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524765     Document Type: Article

References (21)

1. Baillie, R. T., and Bollerslev, T. (1994), “Long Memory in the Forward Premium,” Journal of International Money and Finance, 13, 565-571.
2. Baillie, R. T., Bollerslev, T., and Mikkelsen, H.-O. (1996), “Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 74, 3-30.
3. Bollerslev, T., and Mikkelsen, H.-O. (1996), “Modeling and Pricing Long-Memory in Stock Market Volatility,” Journal of Econometrics, 73, 151-184.
4. Breidt, F. J., Crato, N., and de Lima, P. J. F. (1997), “Modeling Long-Memory Stochastic Volatility,” working paper, Johns Hopkins University, Dept, of Economics.
5. Ding, Z., and Granger, C. W. J. (1996), “Modeling Volatility Persistence of Speculative Returns,” Journal of Econometrics, 73, 185-215.
6. McFarland, J. W., Pettit, R. R., and Sung, S. K. (1982), “The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement,” Journal of Finance, 37, 693-715.
7. Muller, U. A., Dacorogna, M. M., Dave, R. D., Olsen, R. B., Pictet, O. V., and von Weizsacker, J. E. (1997), “Volatilities of Different Time Resolutions—Analyzing the Dynamics of Market Components,” Journal of Empirical Finance, 4, 213-239.
8. Baillie, R. T. (1996), “Long Memory Processes and Fractional Integration in Econometrics,” Journal of Econometrics, 73, 5-59.
9. Park, W. R. (1994), “What Is a Fractional Unit Root?” discussion paper, University of North Carolina, Dept, of Economics.
10. Anderson, T. W., and Walker, A. M. (1964), “On the Asymptotic Distribution of the Autocorrelations of a Sample From a Linear Stochastic Process,” The Annals of Mathematical Statistics, 35, 1296-1303.
11. Bhattacharya, R. N., Gupta, V. K., and Waymire, E. (1983), “The Hurst Effect Under Trends,” Journal of Applied Probability, 20, 649-662.
12. Davis, R. A., and Mikosch, T. (1997), “The Sample ACE of Heavy-Tailed Stationary Processes With Applications to ARCH,” preprint, Colorado State University, Dept, of Statistics.
13. Henry, M., and Robinson, P. M. (1996), “Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range Dependence,” in Athens Conference on Applied Probability and Time Series Analysis Volume II: Time Series Analysis. In Memory of E. J. Hannan, (Lecture Notes in Statistics Vol. 115), eds. P. M. Robinson and M. Rosenblatt, New York: SpringerVerlag, pp. 220-232.
14. Kanter, M., and Steiger, R. L. (1974), “Regression and Autoregression With Infinite Variance,” Advances in Applied Probability, 6, 768-783.
15. Lobato, I., and Robinson, P. M. (1996), “A Nonparametric Test for 1(0),” preprint, London School of Economics, Dept, of Economics.
16. Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Econometrica, 57, 1361-1401.
17. Robinson, P. M. (1991), “Testing for Strong Serial Correlation and Dynamic Conditional Heteroskedasticity in Multiple Regression,” Journal of Econometrics, 47, 67-84.
18. Robinson, P. M., and Henry, M. (1997), “Long Memory Conditionally Heteroscedastic Errors in Semiparametric Estimation of Long Memory,” preprint, London School of Economics, Dept, of Economics.
19. Robinson, P. M., and Zaffaroni, P. (1997), “Modelling Nonlinearity and Long Memory in Time Series,” Nonlinear Dynamics and Time Series, 11, 161-170.
20. Rosenblatt, M. (1961), “Independence and Dependence,” in Proceedings of the 4th Berkeley Symposium on Mathematical Statistics and Probability, Berkeley: University of California Press, pp. 411-443.
21. Whistler, D. (1990), “Semiparametric Models of Daily and Intra-Daily Exchange Rate Volatility,” unpublished Ph.D. thesis, University of London, Dept, of Economics.