Likelihood inference for a fractionally cointegrated vector autoregressive model
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- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
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Cited in
(39)- Efficient inference in multivariate fractionally integrated time series models
- Modelling systems with a mixture of \(I(d)\) and \(I(0)\) variables using the fractionally co-integrated VAR model
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- A fast fractional difference algorithm
- A unifying theory of tests of rank
- A general inversion theorem for cointegration
- Long memory interdependency and inefficiency in bitcoin markets
- Resiliency of the limit order book
- A comparison of semiparametric tests for fractional cointegration
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Special Issue of the \textit{Journal of Time Series Analysis} in honour of the 35th anniversary of the publication of Geweke and Porter-Hudak (1983): guest editors' introduction
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
- Likelihood inference for a nonstationary fractional autoregressive model
- Investigating volatility transmission across international equity markets using multivariate fractional models
- Testing for parameter instability and structural change in persistent predictive regressions
- Fixed bandwidth inference for fractional cointegration
- The market impact of a limit order
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
- fracdist
- Testing the CVAR in the fractional CVAR model
- Nonstationary cointegration in the fractionally cointegrated VAR Model
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Consistent inference for predictive regressions in persistent economic systems
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach
- An Econometric Analysis of Volatility Discovery
- Modeling bivariate long-range dependence with general phase
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- The cointegrated vector autoregressive model with general deterministic terms
- Estimation of long-run parameters in unbalanced cointegration
- Pseudo-maximum likelihood estimators in linear regression models with fractional time series
- Theory and applications of financial chaos index
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- A representation theory for polynomial cofractionality in vector autoregressive models
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
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