Estimation of fractionally integrated panels with fixed effects and cross-section dependence (Q503560)
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scientific article; zbMATH DE number 6674387
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| English | Estimation of fractionally integrated panels with fixed effects and cross-section dependence |
scientific article; zbMATH DE number 6674387 |
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Estimation of fractionally integrated panels with fixed effects and cross-section dependence (English)
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13 January 2017
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fractional cointegration
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factor models
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long memory
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realized volatility
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