Polynomial Cointegration Between Stationary Processes With Long Memory

DOI10.1111/j.1467-9892.2007.00540.xzbMath1150.62036arXivmath/0607150MaRDI QIDQ3505338

Marco Avarucci, Domenico Marinucci

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607150

zbMATH Keywords

Hermite polynomials; nonlinear cointegration; spectral regression

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

33C90: Applications of hypergeometric functions

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Cites Work

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