Likelihood inference for a fractionally cointegrated vector autoregressive model
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Cited in
(46)- fracdist
- The cointegrated vector autoregressive model with general deterministic terms
- Resiliency of the limit order book
- Long memory interdependency and inefficiency in bitcoin markets
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
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- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Modelling systems with a mixture of \(I(d)\) and \(I(0)\) variables using the fractionally co-integrated VAR model
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
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- Likelihood inference for a nonstationary fractional autoregressive model
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