Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
Year of publication: |
2009-01-12
|
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Authors: | Nielsen, Morten Ørregaard |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Cointegration rank | cointegration space | fractional integration and cointegration | interest rates | long memory | nonparametric | term structure | variance ratio |
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