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~institution:"Suntory and Toyota International Centres for Economics and Related Disciplines, LSE"
~language:"eng"
~person:"Marinucci, D"
~subject:"fractional Brownian motion"
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fractional Brownian motion
long-range dependence
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Averaged periodogram
1
Fractional cointegration
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Frational Brownian motion
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Fully-modified ordinary least squares
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Long-range dependence
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Monte Carlo study
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Nonstationary fractional integration
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Nonstationary processes
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Semiparametric analysis
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band spectrum regression
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cointegration
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cointegration analysis
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finite sample improvements
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fractional cointegration
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functional central limit theorem
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least squares estimation
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narrow-band estimation
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Marinucci, D
Robinson, Peter M
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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STICERD - Econometrics Paper Series
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The Averaged Periodogram for Nonstationary Vector Time Series
Marinucci, D
;
Robinson, Peter M
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Suntory and Toyota International Centres for Economics …
-
2000
Averaged periodogram; nonstationary processes; fractional Brownian motion.
Persistent link: https://www.econbiz.de/10005310360
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