In this article, we test a linear Gaussian space model and the Kalman filter ARMA(2,4) model to estimate logarithmic monthly returns of UK general and life insurance companies. This fact motivates us to use state space model that will reveal to us the final one – step ahead values of the...

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...