Bibliography

Andersson, M. K. (1998).

On the Effects of Imposing or Ignoring Long Memory when Forecasting, Preprint.

Andersson, M. K. and Nydahl, S. (1998).

Rational Bubbles and Fractional Alternatives, Preprint.

Baillie, R. T., Bollerslev, T., and Mikkelsen, H. O. (1996).

Fractional Integrated Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics 74: 3-30.

Balzer, L. A. (1995).

Measuring Investment Risk: A Review, The Journal of Investing Vol 4, No. 3: 47-58.

Barkoulas, J. T., Baum, C. F., and Oguz, G. S. (1999a).

Fractional Dynamics in a System of Long Term International Interest Rates, Preprint.

Barkoulas, J. T., Baum, C. F., and Oguz, G. S. (1999b).

A Reexamination of the Long-Memory Evidence in the Foreign Currency Market, Preprint.

Batten, J., Ellis, C., and Hogan, W. (1999).
Scaling The Volatility of Credit Spreads: Eveidence from Australian Dollar Eurobonds, Preprint.

Bekaert, G. Erb, C., Harvey, C., and Viskanta, T. (1998).
Distributional Characteristics of Emerging Market Returns and Asset Allocation: Analysing returns that cannot be summarized by a normal distribution, Journal of Portfolio Management, Winter: 102-116.

Campbell, J. Y., Lo, A. W., and Mackinlay, A. C. (1997).

The Econometrics of Financial Markets, Princeton University Press.

Cheung, Y. W. and Lai, K. S. (1995).

A Search for Long Memory in International Stock Market Returns. Journal of International Money and Finance 24: 597-615.

Delgado, M. A. and Robinson, P. M. (1996).

Optimal Spectral Bandwidth for Long Memory, Statistica Sinica Vol 6, No 1: 97-112.

Fama, E. F. and French, K. R. (1988).

Permanent and Temporary Components of Stock Prices, Journal of Political Economy 96: 246-273.

Geweke, J. and Porter-Hudak, S. (1983).

The Estimation and Application of Long-Memory Time Series Models, Journal of Time Series Analysis 4: 221-237.

Giraitis, L., Kokoszka, P. S. and Leipus, R. (1998).

Detection of Long-memory in ARCH Models, Mimeo LSE and University of Liverpool, Department of Mathematics.

Granger, C. (1966).

The Typical Spectral Shape of an Economic Variable, Econometrica 34: 150-161.

Hall, P. Hardle, W., Kleinow, T., and Schmidt, P. (1999).

Semiparametric Bootstrap Approach to Hypothesis Tests and Confidnece Intervals for the Hurst Coefficient, Preprint.

Hauser, M. A., Potscher, B. M., and Reschenhofer, E. (1999).

Measuring Persistence in Aggregate Output: ARMA Models, Fractionally Integrated ARMA Models and Nonparametric Procedures, Empirical Economics 24: 243-269.

Hurst, H. E. (1951).

Long Term Storage of Reservoirs, Transactions of the American Society of Civil Engineers 116: 770-799.

Kwiatkowski, D., Phillips, P. C. B. , Schmidt, P., and Shin, Y. (1992).

Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We that Economic Series Have a Unit Root, Journal of Econometrics 54: 159-178.

Lee, D. K. C.  and Robinson, P. (1996).

Semiparametric Exploration of Long Memory in Stock Prices. Journal of Statistical Planning and Inference 50: 155-174.

Lo, A. W. (1991).

Long-Term Memory in Stock Market Prices. Econometrica 59: 1279-1313.

Lobato, I. and Robinson, P. M. (1998).

A Nonparametric Test for I(0), Review of Economic Studies, forthcoming.

Mandelbrot, B., Fisher, A. and Calvet, L. (1997).

A Multifractal Model of Asset Returns, Preprint.

Markowitz, H. M. (1959).
Portfolio Selection: Efficient Diversification of Investment, Cowles Foundation for Research in Economics at Yale University. Monograph 16.

May, C.T. (1999).

Nonlinear Pricing: Theory and Practice, John Wiley & Sons Inc., New York.

Murtagh, B. (1995).

A Downside Risk Approach to Asset Allocation, Macquarie University, Sydney, Preprint.

Newey, W. K. and West, K. D. (1987).

A Simple Positive Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55: 703-705.

Peters, E. E. (1996).

Chaos and Orders in the Capital Markets, John Wiley & Sons Inc., New York.

Porterba, J. M. and Summers, L. H. (1988).

Mean Reversion in Stock Returns: Evidence and Implications, Journal of Financial Economics 22: 27-59.

Potscher, B. M. (1999).

Lower Risk Bounds and Properties of Confidence Sets for Ill- Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots and Estimation of Long Memory Parameters, Preprint.

Robinson, P. M. (1994).

Semiparametric Analysis of Long-Memory Time Series, Annals of Statistics 22: 515-539.

Robinson, P. M. (1995).

Gaussian Semiparametric Estimation of Long Range Dependence, Annals of Statistics 23: 1630-1661.

Samuelson, P. A. (1990).

Asset Allocation Can Be Dangerous to Your Health: Pitfalls in Across-time Diversification, Journal of Portfolio Management 16: 5-8.

Samuelson, P. A. (1992).

At Last, A Rational Case for Long-Horizon Risk Tolerance and for Asset-Allocation Timing. Arnott, R. D. and Fabozzi, F. J. ed (1992). Active Asset Allocation, pp. 411-416.

Wilson, P. J. and Okunev, J. (1999).

Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Markets, Journal of Real Estate Research 18: 257-278.