Pages that link to "Item:Q4828159"

The following pages link to Gaussian Semi‐parametric Estimation of Fractional Cointegration (Q4828159):

Displaying 21 items.

• Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) (← links)
• Residual-based test for fractional cointegration (Q498750) (← links)
• Exact local Whittle estimation of fractionally cointegrated systems (Q528005) (← links)
• Likelihood based testing for no fractional cointegration (Q736557) (← links)
• Multiple local Whittle estimation in stationary systems (Q955151) (← links)
• Consistent inference for predictive regressions in persistent economic systems (Q2043266) (← links)
• A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
• Efficient tapered local Whittle estimation of multivariate fractional processes (Q2242857) (← links)
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany (Q2288947) (← links)
• Semiparametric estimation of fractional cointegrating subspaces (Q2373586) (← links)
• Low-frequency robust cointegration testing (Q2439861) (← links)
• LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES (Q2886982) (← 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)
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION (Q3434191) (← links)
• Polynomial Cointegration Between Stationary Processes With Long Memory (Q3505338) (← links)
• A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS (Q3580638) (← links)
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION (Q3632377) (← links)
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence (Q5467604) (← links)