Long-Run Covariance Matrices For Fractionally Integrated Processes
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- Peter C.B. Phillips & Chang Sik Kim, 2007. "Long Run Covariance Matrices for Fractionally Integrated Processes," Cowles Foundation Discussion Papers 1611, Cowles Foundation for Research in Economics, Yale University.
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- Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016.
"Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting,"
Hannover Economic Papers (HEP)
dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
- Phillips, Peter C.B., 2009. "Long memory and long run variation," Journal of Econometrics, Elsevier, vol. 151(2), pages 150-158, August.
- Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
- Christopoulos, Dimitris & McAdam, Peter, 2017. "Do financial reforms help stabilize inequality?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 45-61.
- Leschinski, Christian, 2017.
"On the memory of products of long range dependent time series,"
Elsevier, vol. 153(C), pages 72-76.
- Leschinski, Christian, 2016. "On the Memory of Products of Long Range Dependent Time Series," Hannover Economic Papers (HEP) dp-569, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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