SEASONAL INTEGRATION FOR DAILY DATA

DOI10.1081/ETC-100103822MaRDI QIDQ4432537zbMATH OpenOpenAlexFDO

Authors Akira Tokihisa, Shigeyuki Hamori

Publication date 27 October 2003

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/etc-100103822

zbMATH Keywords

asymptotic distributionseasonal unit rootsstock markets

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• Seasonal integration and cointegration
• scientific article; zbMATH DE number 3926051
• Periodic Time Series Models
• scientific article; zbMATH DE number 4185355

Cites work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing for Unit Roots in Seasonal Time Series

Cited in

(4)

• The sample spectrum of time series with trading day variation
• Spectral analysis of stock data series and evidence of day-of-the-week effects
• Converting Aggregates of Weekly Data into Monthly Values
• A machine learning approach to construct quarterly data on intangible investment for Eurozone

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