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Search: subject:"Fractional Cointegration"
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Long memory
fractional cointegration
152
Kointegration
150
Cointegration
142
Fractional cointegration
141
Schätzung
110
Estimation
105
Zeitreihenanalyse
79
Time series analysis
75
long memory
48
fractional integration
44
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42
Fractional Cointegration
39
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36
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36
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35
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28
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25
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18
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18
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18
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18
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16
cointegration rank
16
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15
Fractional integration
15
Long Memory
14
vector autoregressive model
13
futures markets
12
realized volatility
12
vector error correction model
12
China
11
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Gil-Alaña, Luis A.
5
Gil-Alana, Luis A.
3
Aloy, Marcel
2
Barros, Carlos Pestana
2
Baruník, Jozef
2
Caporale, Guglielmo Maria
2
Dvořáková, Sylvie
2
Huang, Teng-Ching
2
Leschinski, Christian
2
Payne, James E.
2
Rossi, Eduardo
2
Tu, Yu-Chen
2
Weigand, Roland
2
Abakah, Emmanuel Joel Aikins
1
Andre, Christophe
1
Biskas, Pandelis N.
1
Chandrashekhar, G. R.
1
Chaudhari, Amrit
1
Chou, Heng-Chih
1
Chou, Heng-chih
1
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1
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1
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1
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1
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1
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1
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1
Hartl, Tobias
1
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1
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1
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1
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1
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1
Magistris, Paolo Santucci de
1
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1
Monge González, Manuel
1
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1
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1
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1
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1
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1
HAL
1
School of Economics and Management, University of Aarhus
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
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3
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1
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1
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1
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1
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1
Physica A: Statistical Mechanics and its Applications
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Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
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ECONIS (ZBW)
15
RePEc
14
EconStor
3
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1
Fractional
cointegration
between energy imports to the EURO area and exchange rates to the US dollar
Malmierca-Ordoqui, Maria
;
Gil-Alaña, Luis A.
;
Monge …
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
2
,
pp. 859-882
Persistent link: https://www.econbiz.de/10014519716
Saved in:
2
Relationship between ETFs and underlying indices : a
fractional
cointegration
approach
Saha, Kunal
;
Madhavan, Vinodh
;
Chandrashekhar, G. R.
- In:
Applied economics
55
(
2023
)
27
,
pp. 3184-3193
Persistent link: https://www.econbiz.de/10014299141
Saved in:
3
A comparison of semiparametric tests for
fractional
cointegration
Leschinski, Christian
;
Voges, Michelle
;
Sibbertsen, Philipp
- In:
Statistical Papers
62
(
2020
)
4
,
pp. 1997-2030
There are various competing procedures to determine whether
fractional
cointegration
is present in a multivariate time …
Persistent link: https://www.econbiz.de/10014503762
Saved in:
4
Multivariate fractional components analysis
Hartl, Tobias
;
Weigand, Roland
-
2019
Persistent link: https://www.econbiz.de/10011962831
Saved in:
5
Fundamental pricing laws and long memory effects in the day-ahead power market
Thomaidis, Nikolaos S.
;
Biskas, Pandelis N.
- In:
Energy economics
100
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012990262
Saved in:
6
Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins
;
Caporale, Guglielmo Maria
; …
- In:
Research in international business and finance
58
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013286262
Saved in:
7
Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model
Yao, Xingzhi
;
Izzeldin, Marwan
;
Li, Zhenxiong
- In:
Economics letters
181
(
2019
),
pp. 160-163
Persistent link: https://www.econbiz.de/10012121857
Saved in:
8
Estimation and Testing for
Fractional
Cointegration
Aloy, Marcel
;
Truchis, Gilles de
-
2012
question of testing for
fractional
cointegration
(that is, d < 1). The simulation results suggest that the one-step methodology …
Persistent link: https://www.econbiz.de/10011004495
Saved in:
9
Estimation and Testing for
Fractional
Cointegration
Aloy, Marcel
;
Truchis, Gilles De
-
HAL
-
2012
question of testing for
fractional
cointegration
(that is, d < 1). The simulation results suggest that the one-step methodology …
Persistent link: https://www.econbiz.de/10011026224
Saved in:
10
Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Ergemen, Yunus Emre
;
Velasco, Carlos
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 248-258
Persistent link: https://www.econbiz.de/10011818289
Saved in:
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