Fractional integration and cointegration
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- Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
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More about this item
Keywords
Arfima model; cofractional; cointegration; fractional Brownian motion; fractional integration; long memory; long-range dependence; nonstationary; strong dependence;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-01-24 (Econometrics)
- NEP-ETS-2022-01-24 (Econometric Time Series)
- NEP-ORE-2022-01-24 (Operations Research)
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