Showing 1 - 10 of 12,382
Persistent link: https://www.econbiz.de/10010529429
Persistent link: https://www.econbiz.de/10012170845
Persistent link: https://www.econbiz.de/10003325480
Persistent link: https://www.econbiz.de/10003327829
Persistent link: https://www.econbiz.de/10001723036
In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...
Persistent link: https://www.econbiz.de/10009636544
Persistent link: https://www.econbiz.de/10000882121
Persistent link: https://www.econbiz.de/10000882159
Persistent link: https://www.econbiz.de/10000883045
Persistent link: https://www.econbiz.de/10000883136