Local Whittle estimation of multi-variate fractionally integrated processes (Q4979113)
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scientific article; zbMATH DE number 6304788
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| English | Local Whittle estimation of multi-variate fractionally integrated processes |
scientific article; zbMATH DE number 6304788 |
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Local Whittle estimation of multi-variate fractionally integrated processes (English)
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16 June 2014
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fractional integration
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local Whittle
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long memory
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multi-variate semi-parametric estimation
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exchange rates
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0.8237411379814148
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0.7975425720214844
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0.7953993082046509
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0.7950851321220398
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0.794755756855011
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