Multivariate fractional components analysis
Tobias Hartl and Roland Jucknewitz
| Year of publication: |
2023
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|---|---|
| Authors: | Hartl, Tobias ; Jucknewitz, Roland |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 3, p. 880-914
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| Subject: | factor model | fractional cointegration | long memory | realized covariance matrix | state space | unobserved components | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Zustandsraummodell | State space model | Korrelation | Correlation | Schätzung | Estimation | ARMA-Modell | ARMA model | Großbritannien | United Kingdom |
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