Multivariate modelling of long memory processes with common components
From MaRDI portal
Publication:1020895
DOI10.1016/j.csda.2006.12.010zbMath1452.62666OpenAlexW2086728777MaRDI QIDQ1020895
Publication date: 2 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.12.010
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Fractional integration versus level shifts: the case of realized asset correlations ⋮ An omnibus noise filter ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks ⋮ Approximate state space modelling of unobserved fractional components
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Breaks and persistency: macroeconomic causes of stock market volatility
- Econometric methods of signal extraction
- Semiparametric analysis of long-memory time series
- Nonlinear log-periodogram regression for perturbed fractional processes
- Broadband log-periodogram regression of time series with long-range dependence
- Determination of cointegrating rank in fractional systems.
- A permanent-transitory decomposition for ARFIMA processes
- Gaussian semiparametric estimation of long range dependence
- Long memory processes and fractional integration in econometrics
- Estimating cross-section common stochastic trends in nonstationary panel data
- Exact local Whittle estimation of fractional integration
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
- Discrimination between monotonic trends and long-range dependence
- Pooled Log Periodogram Regression
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Band Spectrum Regression
- The Distribution of Realized Exchange Rate Volatility
- Inferential Theory for Factor Models of Large Dimensions
- A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- Semiparametric fractional cointegration analysis
