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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371

Persistent link: https://www.econbiz.de/10003354581

Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson (1994, Annals of Statistics 22, 515-539) and uses...

Persistent link: https://www.econbiz.de/10014067273

Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001599144

Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high frequency

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001599613

Spectral analysis of fractionally cointegrated systems

Nielsen, Morten Ørregaard - In: Economics letters 83 (2004) 2, pp. 225-231

Persistent link: https://www.econbiz.de/10001991527

Noncontemporaneous cointegration and the importance of timing

Nielsen, Morten Ørregaard - In: Economics letters 86 (2005) 1, pp. 113-119

Persistent link: https://www.econbiz.de/10002516515

Noncontemporaneous cointegration and the importance of timing

Nielsen, Morten Ørregaard (contributor) - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002227585

Optimal residual-based tests for fractional cointegration and exchange rate dynamics

Nielsen, Morten Ørregaard - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10002135512

Nonparametric cointegration analysis of fractional systems with unknown integration orders

Nielsen, Morten Ørregaard - In: Journal of econometrics 155 (2010) 2, pp. 170-187

Persistent link: https://www.econbiz.de/10003966977

Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation

Nielsen, Morten Ørregaard (contributor) - 2006

Persistent link: https://www.econbiz.de/10003301063

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