Luis A. Gil-Alana and Javier Hualde 463Christensen, B.J. and N.O. Nielsen (2006) Asymptotic normality of narrowed band least
squares in the stationary fractional cointegration model and volatility forecasting.Journal
of Econometrics 133 , 343–71.
Christensen, B.J. and N.R. Prabhala (1998) The relation between implied and realized
volatility.Journal of Financial Economics 50 , 125–50.
Christiano, L.J. and M. Eichembaum (1990) Unit roots in real GNP. Do we know and do we
care?Carnegie-Rochester Conference Series on Public Policy 32 , 7–61.
Cioczek-George, R. and B.B. Mandelbrot (1995) A class of micropulses and anti persistent
fractional Brownian motion.Stochastic Processes and Their Applications 60 , 1–18.
Clarke, M.D. and M. Lebo (2003) Fractional (co)-integration and governing party support in
Britain.British Journal of Political Science 33 , 283–301.
Corbae, D. and S. Ouliaris (1988) Cointegration and tests of Purchasing Power Parity.Review
of Economics and Statistics 70 , 508–11.
Couchman, J., R. Gounder and J.J. Su (2006) Long memory properties of real interest rates
for 16 countries.Applied Financial Economics Letters 2 , 25–30.
Crato, N. (1994) Some international evidence regarding the stochastic behaviour of stock
returns.Applied Financial Economics 4 , 33–9.
Crato, N. and P.J.F. de Lima (1994) Long range dependence in the conditional variance of
stock returns.Economics Letters 45 , 281–5.
Crato, N. and B.K. Ray (2000) Memory in returns and volatilities of future’s contracts.Journal
of Futures Markets 20 , 525–43.
Crato, N. and P. Rothman (1994a) Fractional integration analysis of long run behaviour for
US macroeconomic time series.Economics Letters 45 , 287–91.
Crato, N. and P. Rothman (1994b) A reappraisal of parity reversion for UK real exchange rates.
Applied Economics Letters 1 , 134–41.
Dahlhaus, R. (1989) Efficient parameter estimation for self-similar process.Annals of Statistics
17 , 1749–66.
Dalla, V. and J. Hidalgo (2005) A parametric bootstrap test for cycles.Journal of Econometrics
129 , 219–61.
Davidson, J. (2003) Testing for fractional cointegration. The relationship between govern-
ment popularity and economic performance in the UK. In C. Diebolt and C. Kyrtsov (eds.),
New Trends in Macroeconomics, pp. 147–71. Berlin and London: Springer.
Davidson, J., D. Peel and D. Byers (2006) Support for governments and leaders: fractional coin-
tegration analysis of poll evidence from the UK, 1960–2004.Studies in Non-linear Dynamics
and Econometrics 10 (1), Article 3.
Delgado, M. and P.M. Robinson (1994) New methods for the analysis of long memory time
series. Application to Spanish inflation.Journal of Forecasting 13 , 97–107.
Dickey, D. and W.A. Fuller (1979) Distributions of the estimators for autoregressive time series
with a unit root.Journal of the American Statistical Association 74 , 427–31.
Diebold, F.X., J. Gardeazabal and K. Yilmaz (1994) On cointegration and exchange rate
dynamics.Journal of Finance 49 , 727–45.
Diebold, F.X., S. Husted and M. Rush (1991) Real exchange rates under the gold standard.
Journal of Political Economy 99 , 1252–71.
Diebold, F.X. and A. Inoue (2001) Long memory and regime switching.Journal of Econometrics
105 ,131–59.
Diebold, F.X.andG.D. Rudebusch (1989) Long memory and persistence in the aggregate
output.Journal of Monetary Economics 24 , 189–209.
Diebold, F.X. and G.D. Rudebusch (1991) Is consumption too smooth? Long memory and
the Deaton paradox.Review of Economics and Statistics 73 , 1–9.
Ding, Z. and C.W.J. Granger (1996) Modeling volatility persistence of speculative returns: a
new approach.Journal of Econometrics 73 , 185–215.
Dolado, J.J., J. Gonzalo and L. Mayoral (2003) Long range dependence in Spanish political
opinion pool series.Journal of Applied Econometrics 18 , 137–55.