A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
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Cites work
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Error Correction Models for Fractionally Cointegrated Time Series
- Fractional differencing
- scientific article; zbMATH DE number 3860263 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Inference on the cointegration rank in fractionally integrated processes.
- Likelihood Analysis of the I(2) Model
- Semiparametric fractional cointegration analysis
- Time series: theory and methods.
Cited in
(33)- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Perpetual learning and apparent long memory
- Generating univariate fractional integration within a large VAR(1)
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach
- Theory and applications of financial chaos index
- Estimating the mean under strong persistence
- Modelling systems with a mixture of \(I(d)\) and \(I(0)\) variables using the fractionally co-integrated VAR model
- Long- versus medium-run identification in fractionally integrated VAR models
- Estimation of long-run parameters in unbalanced cointegration
- A Wald test for the cointegration rank in nonstationary fractional systems
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- The integration order of vector autoregressive processes
- Weak convergence to a modified fractional Brownian motion
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- A representation theory for polynomial cofractionality in vector autoregressive models
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
- Modeling bivariate long-range dependence with general phase
- Nonstationary cointegration in the fractionally cointegrated VAR Model
- Exact local Whittle estimation of fractionally cointegrated systems
- Representation of I(1) and I(2) autoregressive Hilbertian processes
- A general inversion theorem for cointegration
- Approximate state space modelling of unobserved fractional components
- Investigating volatility transmission across international equity markets using multivariate fractional models
- An Econometric Analysis of Volatility Discovery
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- A note on Johansen's rank conditions and the Jordan form of a matrix
- Weak convergence to derivatives of fractional Brownian motion
- Measuring the impact of clean energy production on \(\text{CO}_2\) abatement in Denmark: upper bound estimation and forecasting
- The modified conditional sum-of-squares estimator for fractionally integrated models
- Semiparametric inference in multivariate fractionally cointegrated systems
- Likelihood inference for a nonstationary fractional autoregressive model
- Likelihood based testing for no fractional cointegration
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