Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes
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References listed on IDEAS
- Hwang, Soosung & Satchell, Stephen E, 1999.
"Modelling Emerging Market Risk Premia Using Higher Moments,"
International Journal of Finance & Economics,
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- Stephen Satchell & Soosung Hwang, 1999. "Modelling Emerging Market Risk Premia Using Higher Moments," Working Papers wp99-17, Warwick Business School, Finance Group.
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- Sun, Yixiao, 2006. "Spurious regressions between stationary generalized long memory processes," Economics Letters, Elsevier, vol. 90(3), pages 446-454, March.
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Keywordscyclical comovement; harmonic process; Gegenbauer process; spurious regression; trigonometric series;
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