Bivariate FIGARCH and Fractional Cointegration
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More about this item
KeywordsFIGARCH; Fractional Cointegration; ECM;
- G0 - Financial Economics - - General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2000-01-07 (All new papers)
- NEP-ECM-2000-01-07 (Econometrics)
- NEP-ETS-2000-01-07 (Econometric Time Series)
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