Robust tests on fractional cointegration
Year of publication: |
2001
|
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Authors: | Peters, Andrea ; Sibbertsen, Philipp |
Publisher: |
Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |
Subject: | Kointegration | Theorie | Fractional Cointegration | Maximum Likelihood Estimation | Robustness | Long Memory |
Series: | Technical Report ; 2001,29 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 756681839 [GVK] hdl:10419/77136 [Handle] RePEc:zbw:sfb475:200129 [RePEc] |
Source: |
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