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A Nonparametric Investigation of Duration Dependence in the American Business Cycle, and . Journal of Political Economy, 98 (3): 596 (Jan 1, 1990)doi: 10.1086/261696.Forecasting the term structure of government bond yields, and . Journal of Econometrics, 130 (2): 337--364 (February 2006)Fractional integration and interval prediction, and . Economics Letters, 50 (3): 305--313 (March 1996)On the power of Dickey-Fuller tests against fractional alternatives, and . Economics Letters, 35 (2): 155--160 (February 1991)Advances in Econometrics, , , and . Volume 20, Part 2, chapter Realized Beta: Persistence and Predictability, page 1--39. JAI, (2006)CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue., , , , , , , , , and 32 other author(s). Comput. Stat. Data Anal., (2014)Real Exchange Rates under the Gold Standard, , and . Journal of Political Economy, 99 (6): 1252 (Jan 1, 1991)doi: 10.1086/261799.The distribution of realized stock return volatility, , , and . Journal of Financial Economics, 61 (1): 43--76 (July 2001)Intertemporal consumer behavior under changes in income: a comment. Econometric Reviews, 8 (1): 93--99 (1989)Long memory and regime switching, and . Journal of Econometrics, 105 (1): 131--159 (November 2001)