Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62M09 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6573063 / rank | |||
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asymptotic distribution theory | |||
| Property / zbMATH Keywords: asymptotic distribution theory / rank | |||
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high-frequency data | |||
| Property / zbMATH Keywords: high-frequency data / rank | |||
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long memory | |||
| Property / zbMATH Keywords: long memory / rank | |||
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semiparametric methods | |||
| Property / zbMATH Keywords: semiparametric methods / rank | |||
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stationary fractional cointegration | |||
| Property / zbMATH Keywords: stationary fractional cointegration / rank | |||
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Revision as of 16:19, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting |
scientific article |
Statements
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (English)
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25 April 2016
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asymptotic distribution theory
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high-frequency data
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long memory
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semiparametric methods
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stationary fractional cointegration
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