Akonom J. (1988) " Processus transformés d'un ARMA ou d'un processus de Wiener. Problèmes d'estimation", Thèse, Université de Lille.

Azaïs J.M. et Lang G. (1993) " Estimation de l'exposant de longue dépendance dans un cadre semi-paramétrique", CRAS, série I math, n° 6, pp. 611-614. | MR | Zbl

Backus D.K. et Zln S.E. (1993) " Long-Memory Inflation Uncertainty : Evidence from the Term Structure of Interest Rates", Journal of Money, Credit and Banking, pp. 681-700.

Baillie R.T. (1996), " Long Memory Processes and Fractional Integration in Econometrics", Journal of Econometrics, Vol. 73, n° 1, pp. 5-59. | MR | Zbl

Baillie R.T. et Bollerslev T. (1994) " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics", Journal of Finance, Vol. 49, pp. 737-745.

Baillie R.T., Bollerslev T., et Mikkelsen H.O. (1996), " Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, Vol. 74, n° 1, pp. 3-30. | MR | Zbl

Baillie R.T., Chung C.F. et Tieslau M.A. (1996) " Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model", Journal of Applied Econometrics, 11, pp. 23-40.

Baum C.F. , Barkoulas J.T. et Travlos N. (1996) " Long Memory in the Greek Stock Market", Working Paper, Boston College.

Baum C.F. , Barkoulas J.T. et Caglayan M. (1997) " Persistence in International Inflation Rates", Working Paper, Boston College.

Baum C.F. , Barkoulas J.T. et Caglayan M. (1998) " Fractional Monetary Dynamics", Working Paper, Boston College.

Baum C.F. , Barkoulas J.T. et Oguz G.S. (1998) " Fractional Dynamics in a System of Long Term International Interest Rates", Working Paper, Boston College.

Baum C.F. , Barkoulas J.T. et Caglayan M. ( 1999a) " Long Memory or Structural Breaks : Can Either Explain Nonstationarity Real Exchange Rates under the Current Float ?", Working Paper, Boston College.

Baum C.F. , Barkoulas J.T. et Caglayan M. ( 1999b) " A Reexamination of the Long-Memory Evidence in the Foreign Currency Market", Working Paper, Boston College.

Berg L. et Lyhagen J. (1996) " Short and Long Run Dependence in Swedish Stock Returns", Working Paper, Uppsala University, n° 1996 :19.

Bollerslev T. (1986), " Generalized Autoregressive Conditional Heteroskedasti-city", Journal of Econometrics, Vol. 31, pp. 307-327. | MR | Zbl

Bollerslev T., Chou R.Y., Jayaraman N. et Kroner K.F. (1991), " Les modèles ARCH en finance : un point sur la théorie et les résultats empiriques", Annales d'économie et de statistique, n° 24, pp. 1-59.

Bollerslev T. et Engle R.F. (1986), " Modelling the Persistence of Conditional Variances", Econometric Reviews, 5, pp. 1-50. | MR | Zbl

Bollerslev T. et Mikkelsen H.O. (1996), " Modeling and Pricing Long Memory in Stock Market Volatility", Journal of Econometrics, Vol. 73, n° 1, pp. 151-184. | Zbl

Booth G.G., Kaen F.R. et Koveos P.E. " R/S Analysis of Foreign Exchange Rates under Two International Monetary Regimes", Journal of Monetary Economics, pp. 407-415.

Bos C.S., Franses P.H. et Ooms M. (1998) " Long Memory and Level shifts : Re-Analyzing Inflation rates", Tinbergen Institute Discussion Paper, T198-039/4.

Brockwell P.J. et Davis R.A. (1991) Time Series : Theory and Methods, Springer Verlag. | MR | Zbl

Brown T.M. (1952) " Habit Persistence and Lags in Consumer Behavior", Journal of Econometrics.

Cheung Y-W. (1993) " Tests for Fractional Integration : A Monte Carlo Investigation", Journal of Time Series Analysis, Vol. 14, n° 4. pp. 331-345. | MR | Zbl

Cheung Y-W. (1993) " Long-Memory in Foreign Exchange Rates", Journal of Business and Economic Statistics, 11, pp. 93-101.

Cheung Y-W. et Diebold F.X. (1994) " On Maximum Likelihood Estimation of the Differencing Parameter of Fractionally-Integrated Noise with Unknown Mean", Journal of Econometrics, Vol. 62, pp.301-316.

Cheung Y-W. et Lai (1993) " A Fractional Cointegration Analysis of Purchasing Power Parity", Journal of Business and Economic Statistics, 11, pp. 103-112

Chung C.F. (1996) " Estimating a Generalized Long Memory Process", Journal of Econometrics, Vol. 73, pp. 237-259. | MR | Zbl

Crato N. et De Lima P.J.F. (1994) " Long-Range Dependence in the Conditional Variance of Stock Returns, Economics Letters, 45, pp. 281-285. | Zbl

Crato N. et Rothman P. (1994) " Fractional Integration Analysis of Long Run Behavior for US Macroeconomic Time Series", Economics Letters, 45, pp. 287-291. | Zbl

Delgado M.A. et Robinson P.M. (1994) " New Methods for the Analysis of Long-Memory Time Series : Application to Spanish Inflation", Journal of Forecasting, Vol. 13, pp. 97-107.

Diebold F.X., Husted S. et Rush M. (1991) " Real Exchange Rates Under the Gold Standard", Journal of Political Economy, 99, pp. 1252-1271.

Diebold F.X. et Rudebusch G.D. (1989) " Long Memory and Persistence in , Aggregate Output", Journal of Monetary Economics, Vol. 24, n° 2, pp. 189-209.

Diebold F.X. et Rudebusch G.D. (1991) " Is Consumption too Smooth? Long Memory and the Deaton Paradox", Review of Economics and Statistics, 71, pp. 1-9.

Dlng Z. et Granger C. W. J. (1996), " Modeling Volatility Persistence of Speculative Returns : A New Approach", Journal of Econometrics, Vol. 73, n° 1, pp. 185-215. | MR | Zbl

Fama E.F. (1970) " Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance, n° 2, pp. 383-417. | MR

Fama E.F. (1991) " Efficient Capital Markets : II", Journal of Finance, n° 5, pp. 1575-1617.

Fox R. et Taqqu M.S. (1986) " Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series", Annals of Statistics, Vol. 14, pp. 517-532. | MR | Zbl

Friedman M. (1957) A Theory of the Consumption Function, New York.

Geweke J. et Porter - Hudak S. (1983) " The Estimation and Application of Long Memory Time Series Models", Journal of Time Series Analysis, Vol. 4, n° 4, pp. 221-238. | MR | Zbl

Graf (1983) Long Range Correlations and the Estimation of the Self Similarity Parameter, Ph. D. Thesis, ETH Zrich, n° 7357.

Granger C.W.J. (1986) " Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, Vol. 48, n° 3, pp. 213-228.

Granger C.W.J. et Joyeux R. (1980) " An Introduction to Long-Memory Time Series Models and Fractional Differencing", Journal of Time Series Analysis, Vol. 1, n° 1, pp. 15-29. | MR | Zbl

Gray H.L., Zhang N.F. et Wood Ward W.A. (1989) " On Generalized Fractional Processes", Journal of Time Series Analysis, Vol. 10, n° 3, pp. 233-257. | MR | Zbl

Greene M.T. et Fielitz B.D. (1977) " Long-Term Dependence in Common Stock Returns", Journal of Financial Economics, Vol. 4, pp. 339-349.

Hannan E.J. (1970) Multiple Time Series, John Wiley. | MR | Zbl

Hannan E.J. (1973) " The Asymptotic Theory of Linear Time Series Models", Journal of Applied Probabilities, Vol. 10, pp. 130-145. | MR | Zbl

Hardouin C. (1993) " Estimation du paramètre fractionnaire par la méthode des contrastes", Thèse, Université de Paris I.

Harvey A.C. (1993) " Long Memory in Stochastic Volatility", Working Paper, London School of Economics.

Hassett (1990) " Is the Aggregate Labor Market Exploding?", Manuscript, Graduate School of Business, Columbia University, New-York.

Hassler U. et Wolters J. (1995) " Long Memory in Inflation Rates : International Evidence", Journal of Business and Economic Statistics, 13, pp. 37-45.

Haubrich J.G. (1992) " Consumption and Fractional Differencing : Old and New Anomalies", Working Paper, University of Pennsylvania.

Hauser M.A. (1998) " Maximum Likelihood Estimators for ARMA and ARFIMA Models : A Monte Carlo Study", à paraître dans Journal of Statistical Planning and Inference. | MR | Zbl

Higuchi T. (1988) " Approach to an Irregular Time Series on the Basis of the Fractal Theory", Physica, 31D, pp. 277-283. | MR | Zbl

Hosking J.R.M. (1981) " Fractional Differencing", Biometrika, Vol. 68, n° 1. | MR | Zbl

Hosking J.R.M. (1984) " Modeling Persistence in Hydrological Time Series Using Fractional Differencing", Water Resources Research, Vol. 20, pp. 1898-1908.

Hurst H.E. (1951) " Long-Term Storage Capacity of Reservoirs", Transactions of the American Society of Civil Engineers, Vol. 116, pp. 770-799.

Janacek G.J. (1982) " Determining the Degree for Time Series via the Log Spectrum", Journal of Time Series Analysis, Vol. 3, pp. 177-183. | MR

Jeffreys ( 1939, 1948, 1961) Theory of Probability, Clarendon Press, Oxford. | JFM | MR | Zbl

Kashyap R.L. et Eom K.B. (1988) " Estimation in Long-Memory Time Series Model", Journal of Time Series Analysis, Vol. 9, n° 1, pp. 35-41. | MR | Zbl

Kolmogorov A.N. (1940) " Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum", Comptes Rendus (Doklady) de l'Académie des Sciences de l'URSS, XXVI, n° 2, pp. 115-118. | JFM | MR | Zbl

Koop G., Ley E., Osiewalski J. et Steel M.F.J. (1995) " Bayesian Analysis of Long Memory and Persistence using ARFIMA Models", à paraître dans Journal of Econometrics. | Zbl

Koyck L.M. (1954) Distributed Lags and Investment Analysis, Amsterdam.

Lardic S. (1992) La non-stationnarité des séries macro économiques, Mémoire de DEA, Université Paris X-Nanterre.

Lardic S. (1996) " Non stationnarité, mémoire des séries et hystérésis", Revue d'Economie Politique, Vol. 106, n° 3, pp. 417-450.

Lardic S. (1997) L'hystérésis en économie : théorie et mesure, Thèse pour le doctorat de Sciences Economiques, Université Paris X - Nanterre.

Lardic S. et Mignon V. (1996) " Les tests de mémoire longue appartiennent-ils au "camp du démon" ?", Revue Economique, Vol. 47, n° 3, pp. 531-540.

Lardic S. et Mignon V. (1997) " Essai de mesure du degré de mémoire longue des séries. L'exemple de la modélisation ARFIMA", Economie Appliquée, n° 2, pp. 161-195.

Lardic S. et Mignon V. ( 1999a) " Prévision ARFIMA des taux de change : les modélisateurs doivent-ils encore exhorter à la naïveté des prévisions ?", Annales d'Economie et de Statistique, n° 54, pp. 47-68.

Lardic S. et Mignon V. ( 1999b) " Modélisation FIGARCH appliquée à l'analyse de la structure par terme des taux d'intérêt", Finance, Vol. 20, pp. 91-114.

Li W.K. et Mcleod A.I. (1986) " Fractional Time Series Modelling", Biometrika, Vol. 73, n° 1, pp. 217-221. | MR

Lo A.W. (1991) " Long-Term Memory in Stock Market Prices", Econometrica, Vol. 59, n° 5, pp. 1279-1313. | Zbl

Lobato I.N. et Savin N.E. (1996) " Real and Spurious Long Memory Properties of Stock Market Data", Working Paper, University of Iowa.

Mcleod et Hipel (1978) " Preservation of the Rescaled Adjusted Range, 1, A Reassessment of the Hurst Phenomenon", Water Resources Research, 14, pp. 491-508.

Mandelbrot B.B. (1965) " Une classe de processus stochastiques homothétiques à soi ; application à la loi climatologique de H. E. Hurst", Comptes rendus de l'Académie des Sciences de Paris, 260, pp. 3274-3277. | MR | Zbl

Mandelbrot B.B. (1972) " Statistical Methodology for Nonperiodic Cycles : From the Covariance to R/S Analysis", Annals of Economic and Social Measurement, Vol. 1, n° 3, pp. 259-290.

Mandelbrot B.B. (1973) " Le problème de la réalité des cycles lents et le syndrome de Joseph", Economie Appliquée, Vol. 26, pp. 349-365.

Mandelbrot B.B. et Taqqu M. (1979) " Robust R/S Analysis of Long Run Serial Correlation", Bulletin of the International Statistical Institute, 48, n° 2, pp. , 69-104. | MR | Zbl

Mandelbrot B.B. et Van Ness J.W. (1968) " Fractional Brownian Motions, Fractional Noises and Applications", SIAM Review, Vol. 10, n° 4, pp. 422-437. | MR | Zbl

Mandelbrot B.B. et Wallis, (1968) " Noah, Joseph and Operational Hydrology", Water Resources Research, 4, n° 5, pp. 909-918.

Mandelbrot B.B. et Wallis , ( 1969a) " Computer Experiments with Fractional Gaussian Noises", Water Resources Research, 5, pp. 228-267.

Mandelbrot B.B. et Wallis , ( 1969b) " Some Long Run Properties of Geophysical Records", Water Resources Research, 5, n° 2, pp. 321-340.

Mandelbrot B.B. et Wallis , ( 1969c) " Robustness of the Rescalled Range R/S in the Measurement of Noncyclic Long Run Statistical Dependance", Water Resources Research, 5, n° 5, pp. 967-988.

Meese R. et Rogoff K. (1983) " Empirical Exchange Rate Models of the Seventies : Do They Fit Out of Sample ?", Journal of International Economics, Vol. 14, pp. 3-24.

Mignon V. (1996) " Les implications de la mémoire longue et de la non linéarité sur l'efficience du marché des changes", Journal de la Société de Statistique de Paris, n° 1, pp. 51-72.

Mignon V. (1998) Marchés financiers et modélisation des rentabilités boursières, Economica, collection Approfondissement de la Science Economique.

Mignon V. (1998) " Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières", Economie et Prévision, n° 132-133, pp. 193-214.

Nelson C.R. et Plosser C.I. (1982) " Trends and Random Walks in Macroeconomic Time Series : Some Evidence and Implications", Journal of Monetary Economics, 10, pp. 139-162.

Newcomb (1886) " A Generalized Theory of the Combination of Observations so as to Obtain the Best Result", American Journal of Mathematics, 8, pp. 343-366. | JFM | MR

Olshen R. (1967) " Asymptotic Properties of the Periodogram of a Discrete Stationary Process", Journal of Applied Probability, 5, pp. 508-528. | MR | Zbl

Peitgen H.O. et Saupe D. (1988) The Science of Fractal Images, Springer Verlag. | MR

Peters E.E. (1991) Chaos and Order in the Capital Markets, John Wiley & Sons.

Peters E.E. (1994) Fractal Market Analysis, John Wiley &; Sons.

Porter-Hudak S. (1990) " An Application of the Seasonal Fractionally Differenced Model to the Monetary Agregates", Journal of the American Statistical Association, Vol. 85, n° 410, pp. 338-344.

Ray B.K. (1993) " Long-Range Forecasting of IBM Product Revenues Using a Seasonal Fractionally Differenced ARMA Model", International Journal of Forecasting, 9, pp. 255-269.

Robinson P.M. (1994) " Semiparametric Analysis of Long Memory Time Series", Annals of Statistics, 22, pp. 515-539. | MR | Zbl

Robinson P.M. ( 1995a) " Gaussian Semiparametric Estimation of Long Range Dependence", Annals of Statistics, 23, pp. 1630-1661. | MR | Zbl

Robinson P.M. ( 1995b) " Log Periodogram Regression of Time Séries with Long Range Dependence", Annals of Statistics, 23, pp. 1048-1072. | MR | Zbl

Robinson P.M. et Marinucci D. (1998) " Semiparametric Frequency Domain Analysis of Fractional Cointegration", London School of Economics, Discussion Paper n° EM/98/348.

Sadique S. et Silvapulle P. (1998) " Long-Term Memory in Stock Market Prices : International Evidence", Working Paper, La Trobe, Department of Economics.

Samorodnitsky G. et Taqqu M.S. (1994) Stable Non-Gaussian Processes : Stochastic Models with Infinite Variance, Chapman & Hall. | MR | Zbl

Shea G.S. (1991) " Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure", Empirical Economics, Vol. 16, pp. 287-312.

Smith (1938) " An Empirical Law Describing Heterogeneity in the Yields of Agricultural Crops", Journ. Agric. Sci., 28, pp. 1-23.

Sowell F. ( 1992a) " Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models", Journal of Econometrics, Vol. 53, pp. 165-188. | MR

Sowell F. ( 1992b) " Modeling Long-Run Behavior with the Fractional ARIMA Model", Journal of Monetary Economics, Vol. 29, pp. 277-302.

Student (1927) " Errors of Routine Analysis", Biometrika, 19, pp. 151-164.

Summers L.H. (1986) " Does the Stock Market Rationally Reflect Fundamental Values?", Journal of Finance, n° 3, pp. 591-601.

Taqqu M.S., Teverovsky V. et Willinger W. (1995) " Estimators of Long-Range Dependence : An Empirical Study", Preprint, Boston University, 18 pages.

Tieslau M.A. (1992) " Strongly Dependent Economic Time Series : Theory and Applications", Ph.D., Michigan State University.

Whittle (1956) " On the Variation of Yield Variance with Plot Size", Biometrika, 43, pp. 337-343. | MR | Zbl

Willinger W., Taqqu M.S. et Teverovsky V. (1999) " Stock Market Prices and Long Range Dependence", Finance and Stochastics, n° 1, pp. 1-14. | Zbl

Yajima Y. (1985) " On Estimation of Long Memory Time Series Models", Australian Journal of Statistics, Vol.27, pp. 303-320. | MR | Zbl