Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Year of publication: |
2006
|
---|---|
Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 133.2006, 1, p. 343-372
|
Saved in:
Saved in favorites
Similar items by person
-
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model
Christensen, Bent Jesper, (2009)
-
Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas, (2005)
-
Busch, Thomas, (2008)
- More ...