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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

Nonparametric cointegration analysis of fractional systems with unknown integration orders

Nielsen, Morten Ørregaard (contributor) - 2008

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...