Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes
Year of publication: |
2006
|
---|---|
Authors: | Shimotsu, Katsumi |
Publisher: |
Kingston (Ontario) : Queen's University, Department of Economics |
Subject: | Stochastischer Prozess | Nichtparametrisches Verfahren | fractional integration | long memory | semiparametric estimation |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 511863217 [GVK] hdl:10419/189342 [Handle] RePEC:qed:wpaper:1062 [RePEc] |
Classification: | C22 - Time-Series Models |
Source: |
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