Cointegrated dynamics for a generalized long memory process : application to interest rates
Manabu Asai, Shelton Peiris, Michael McAleer, David E. Allen
| Year of publication: |
2020
|
|---|---|
| Authors: | Asai, Manabu ; Peiris, Shelton ; McAleer, Michael ; Allen, David E. |
| Subject: | long memory processes | Gegenbauer process | Dickey-Fuller Tests | cointegration | differencing | interest rates | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Zins | Interest rate | ARMA-Modell | ARMA model | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2018-0024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012258310