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Robinson, Peter and Henry, Marc (2002) Higher-order kernel semiparametric M-estimation of long memory. Econometrics; EM/2002/436 (EM/02/436). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Henry, Marc (1998) Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels. Econometrics; EM/1998/357 (EM/98/357). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Henry, Marc and Payne, Richard (1997) An investigation of long range dependence in intra-day foreign exchange rate volatility. Financial Markets Group Discussion Papers (264). Financial Markets Group, The London School of Economics and Political Science, London, UK.
