Nonparametric cointegration analysis of fractional systems with unknown integration orders
Year of publication: |
2008
|
---|---|
Authors: | Nielsen, Morten Ørregaard |
Publisher: |
Kingston (Ontario) : Queen's University, Department of Economics |
Subject: | Nichtparametrisches Verfahren | Kointegration | Monte-Carlo-Methode | Zinsstruktur | cointegration rank | cointegration space | fractional integration and cointegration | interest rates | long memory | nonparametric | term structure | variance ratio |
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