Local Whittle Analysis of Stationary Fractional Cointegration
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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"Spectral analysis of fractionally cointegrated systems,"
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"Long-run relationships between international stock prices: further evidence from fractional cointegration tests,"
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More about this item
KeywordsFractional Cointegration; Fractional Integration; Whittle Likelihood; Long Memory; Realized Volatility; Semiparametric Estimation;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- 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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