The Econometric Analysis of Seasonal Time Series

By Eric Ghylsels, D. Osborn. 2001

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On detecting and modeling periodic correlation in financial data (2004, background): “models and short memory stationary series, PARMA models are fundamental periodic and periodically correlated time series models [8, 17 ,35].”
The Term Structure of Inflation Expectations (2012, unknown): “Ghysels and Osborn (2001) provide the details of, and a justification for, this procedure.”
The MIDAS Touch: Mixed Data Sampling Regression Models (2004, unknown): “work on the topic and Ghysels and Osborn (2001) for the most recent literature.”
Time Series Analysis (2003, unknown): “This spurious regression problem was first discussed by Yule (1926), further illustrated by Granger and Newbold (1974), and formally analyzed by Phillips (1986) and Phillips and Durlauf (1986).”
Improving Size and Power in Unit Root Testing (2005, background): “…and Pantula (1987), Haldrup (1998)], tests of seasonally integrated processes [e.g., Hylleberg, Engle, Granger, and Yoo (1990), Franses (1996), Ghysels and Osborn (2001)], tests of unit roots against structural breaks [e.g., Perron (1989, 2005)], fractionally integrated processes [e.g.,…”