Pages that link to "Item:Q1858915"

The following pages link to Determination of cointegrating rank in fractional systems. (Q1858915):

Displaying 45 items.

• Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
• Cointegration in fractional systems with deterministic trends (Q265117) (← links)
• Residual log-periodogram inference for long-run relationships (Q269403) (← links)
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) (← links)
• Diagnostic testing for cointegration (Q291113) (← links)
• Breaks and persistency: macroeconomic causes of stock market volatility (Q292011) (← links)
• Root-\(n\)-consistent estimation of weak fractional cointegration (Q451251) (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
• Exact local Whittle estimation of fractionally cointegrated systems (Q528005) (← links)
• Semiparametric inference in multivariate fractionally cointegrated systems (Q736545) (← links)
• Likelihood based testing for no fractional cointegration (Q736557) (← links)
• Statistical estimation for CAPM with long-memory dependence (Q764801) (← links)
• An omnibus noise filter (Q964661) (← links)
• A test for fractional cointegration using the sieve bootstrap (Q1019511) (← links)
• Multivariate modelling of long memory processes with common components (Q1020895) (← links)
• A multivariate test against spurious long memory (Q1706443) (← links)
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion (Q1795571) (← links)
• Spectral analysis of fractionally cointegrated systems (Q1927489) (← links)
• Noncontemporaneous cointegration and the importance of timing (Q1927729) (← links)
• Consumption, aggregate wealth and expected stock returns: an FCVAR approach (Q2046049) (← links)
• A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
• Efficient tapered local Whittle estimation of multivariate fractional processes (Q2242857) (← links)
• Two-step wavelet-based estimation for Gaussian mixed fractional processes (Q2316337) (← links)
• Semiparametric estimation of fractional cointegrating subspaces (Q2373586) (← links)
• A simple test for the equality of integration orders (Q2439794) (← links)
• Estimation of long-run parameters in unbalanced cointegration (Q2512528) (← links)
• A Wald test for the cointegration rank in nonstationary fractional systems (Q2628844) (← links)
• Nonparametric cointegration analysis of fractional systems with unknown integration orders (Q2630204) (← links)
• DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES (Q2937710) (← links)
• Fully modified narrow‐band least squares estimation of weak fractional cointegration (Q3018490) (← links)
• Computationally efficient methods for two multivariate fractionally integrated models (Q3077667) (← links)
• UNBALANCED COINTEGRATION (Q3408520) (← links)
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION (Q3434191) (← links)
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory (Q3539876) (← links)
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION (Q3632377) (← links)
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416) (← links)
• A bivariate fractionally cointegrated relationship in the context of cyclical structures (Q3653255) (← links)
• CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS (Q5059135) (← links)
• Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries (Q5124734) (← links)
• Identifying Cointegration by Eigenanalysis (Q5231517) (← links)
• Instrumental variables estimation of stationary and non‐stationary cointegrating regressions (Q5488518) (← links)
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION (Q5697630) (← links)
• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates (Q5863575) (← links)
• Semiparametric fractional cointegration analysis (Q5952032) (← links)
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks (Q6069863) (← links)