Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility
Year of publication: |
2005
|
---|---|
Authors: | Morana, Claudio |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 355.2005, 1, p. 165-175
|
Publisher: |
Elsevier |
Subject: | Fractional cointegration | Long memory | Frequency domain analysis | Stock market volatility |
-
Spectral Analysis of Fractionally Cointegrated Systems
Nielsen, Morten Oe.,
-
Aloy, Marcel, (2016)
-
Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach
Baillie, Richard T., (2007)
- More ...
-
Temperature Anomalies, Radiative Forcing and ENSO
Morana, Claudio, (2017)
-
New Paradigms in Monetary Theory and Policy?
Balling, Morten, (2012)
-
Some Financial Implications of Global Warming: an Empirical Assessment
Morana, Claudio, (2018)
- More ...