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Fully modified Narrow-Band least squares estimation of weak fractional cointegration
Frederiksen, Per; Nielsen, Morten Ørregaard - 2009
research on this model has considered a semiparametric narrow-band least squares (NBLS) estimator in the frequency domain, but …
Persistent link: https://www.econbiz.de/10010290372
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Fully modified narrow-band least squares estimation of stationary fractional cointegration
Nielsen, Morten Ørregaard; Frederiksen, Per - 2008
found important application recently, especially in financial economics. Previous research has considered a semiparametric …
Persistent link: https://www.econbiz.de/10010290408
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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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Copula-based time series with filtered nonstationarity
Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - 2020 - Final version: October 2020
Persistent link: https://www.econbiz.de/10012320594
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Copula-based time series with filtered nonstationarity
Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - In: Journal of econometrics 228 (2022) 1, pp. 127-155
Persistent link: https://www.econbiz.de/10013441732