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A necessary moment condition for the fractional functional central limit theorem
Johansen, Søren
;
Ørregaard Nielsen, Morten
-
2010
_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the
fractional
integration
parameter and u_{t} is weakly dependent. The classical condition is …
Persistent link: https://www.econbiz.de/10010290400
Saved in:
2
A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels
;
Nielsen, Frank S.
;
Nielsen, Morten …
-
2009
A regime dependent VAR model is suggested that allows long memory (
fractional
integration
) in each of the observed …
Persistent link: https://www.econbiz.de/10010290397
Saved in:
3
Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity
Okimoto, Tatsuyoshi
;
Shimotsu, Katsumi
-
2007
deviations during the last three decades. We employ a
fractional
integration
framework, which provides a powerful tool to detect …
Persistent link: https://www.econbiz.de/10011940752
Saved in:
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