Pages that link to "Item:Q125805"

The following pages link to Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (Q125805):

Displaying 34 items.

• fracdist (Q109646) (← links)
• The market impact of a limit order (Q433360) (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
• The cointegrated vector autoregressive model with general deterministic terms (Q1652953) (← links)
• Resiliency of the limit order book (Q1657443) (← links)
• Long memory interdependency and inefficiency in bitcoin markets (Q1787569) (← links)
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes (Q2039810) (← links)
• Consistent inference for predictive regressions in persistent economic systems (Q2043266) (← links)
• Consumption, aggregate wealth and expected stock returns: an FCVAR approach (Q2046049) (← links)
• A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
• Pseudo-maximum likelihood estimators in linear regression models with fractional time series (Q2066515) (← links)
• Theory and applications of financial chaos index (Q2070531) (← links)
• Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) (← links)
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend (Q2137818) (← links)
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (Q2294518) (← links)
• Modelling systems with a mixture of \(I(d)\) and \(I(0)\) variables using the fractionally co-integrated VAR model (Q2311165) (← links)
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732) (← links)
• A unifying theory of tests of rank (Q2397723) (← links)
• Estimation of long-run parameters in unbalanced cointegration (Q2512528) (← links)
• (Q2971501) (← links)
• THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS (Q2976205) (← links)
• CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS (Q5059135) (← links)
• Modeling bivariate long‐range dependence with general phase (Q5111845) (← links)
• A FAST FRACTIONAL DIFFERENCE ALGORITHM (Q5176849) (← links)
• Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models (Q5177969) (← links)
• Special Issue of the <i>Journal of Time Series Analysis</i> in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction (Q5226138) (← links)
• Nonstationary Cointegration in the Fractionally Cointegrated VAR Model (Q5226145) (← links)
• Fixed Bandwidth Inference for Fractional Cointegration (Q5226146) (← links)
• The Slow Convergence of Ordinary Least Squares Estimators of <i>α</i>, <i>β</i> and Portfolio Weights under Long‐Memory Stochastic Volatility (Q5226148) (← links)
• Small‐<i>b</i> and Fixed‐<i>b</i> Asymptotics for Weighted Covariance Estimation in Fractional Cointegration (Q5256818) (← links)
• A general inversion theorem for cointegration (Q5860964) (← links)
• Investigating volatility transmission across international equity markets using multivariate fractional models (Q6056274) (← links)
• An Econometric Analysis of Volatility Discovery (Q6626277) (← links)
• On the Identification of Fractionally Cointegrated VAR Models With the<i>F(d)</i>Condition (Q6634848) (← links)