Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data

DOI10.1111/JTSA.12461zbMath1437.62330OpenAlexW2951652783MaRDI QIDQ4973948

Marcus J. Chambers

Publication date: 6 December 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/24395/1/MFCCT_Final.pdf

zbMATH Keywords

frequency domaincontinuous timemixed frequency data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data

Cites Work

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