Quantile Regression for Long Memory Testing: A Case of Realized Volatility
Uwe Hassler,
Paulo M. M. Rodrigues,
Antonio Rubia
Journal Of Financial Econometrics,
vol. 14, 2016, p. 693-724.
Persistence in the Banking Industry: Fractional Integration and Breaks in Memory
Uwe Hassler,
Paulo M. M. Rodrigues,
Antonio Rubia
Journal Of Empirical Finance,
vol. 29, 2014, p. 95-112.
Testing for General Fractional Integration in the Time Domain
Uwe Hassler,
Paulo M. M. Rodrigues,
Antonio Rubia
Econometric Theory,
vol. 25, 2009, p. 1793-1828.