Multivariate fractional components analysis
Tobias Hartl and Roland Jucknewitz
| Year of publication: |
2023
|
|---|---|
| Authors: | Hartl, Tobias ; Jucknewitz, Roland |
| Subject: | factor model | fractional cointegration | long memory | realized covariance matrix | state space | unobserved components | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Korrelation | Correlation | Theorie | Theory | Schätzung | Estimation | Zustandsraummodell | State space model | Faktorenanalyse | Factor analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314837