Forecasting plays a major role in financial planning and it is an essential analytical tool in banks' strategies. In recent years, researchers are developing new techniques for estimation. Financial performance evaluation of banks is a kind of multi-criteria decision making (MCDM) problem which...

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...