Testing for integration and cointegration when time series are observed with noise
Angelica Gianfreda, Paolo Maranzano, Lucia Parisio, Matteo Pelagatti
| Year of publication: |
2023
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|---|---|
| Authors: | Gianfreda, Angelica ; Maranzano, Paolo ; Parisio, Lucia ; Pelagatti, Matteo |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 125.2023, p. 1-18
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| Subject: | Cointegration | Electricity prices | Filtering | Pairs trading | Stationarity | Unit root | Zeitreihenanalyse | Time series analysis | Kointegration | Strompreis | Electricity price | Einheitswurzeltest | Unit root test | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Marktintegration | Market integration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106352 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014463618