Fractional Cointegration

DOI10.1007/978-3-540-71297-8_31MaRDI QIDQ3646978zbMATH OpenOpenAlexFDO

Authors Willa W. Chen, Clifford Hurvich

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_31

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for discrete and fast Fourier transforms (65T50)

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• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
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• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL

Cited in

(18)

• Estimating fractional cointegration in the presence of polynomial trends
• Semiparametric estimation of the fractional differencing parameter of measures of the U. K. unemployment
• Spectral analysis of fractionally cointegrated systems
• Semiparametric estimation of fractional cointegrating subspaces
• UNBALANCED COINTEGRATION
• Fractional integration and deterministic trends. An investigation and an illustration with the US GNP
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
• Semiparametric Estimation of Multivariate Fractional Cointegration
• First stage estimation of fractional cointegration
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
• Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
• Exact local Whittle estimation of fractionally cointegrated systems
• Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
• Fractionally Integrated Long Horizon Regressions
• Semiparametric fractional cointegration analysis
• A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
• Fractionally integrated curve time series with cointegration
• Semiparametric inference in multivariate fractionally cointegrated systems

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