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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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Semiparametric GARCH models with long memory applied to value at risk and expected shortfall
Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - 2021
Persistent link: https://www.econbiz.de/10012508951
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Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration
Nielsen, Morten Ørregaard; Frederiksen, Per - Economics Department, Queen's University - 2008
semiparametric narrow-band least squares (NBLS) estimator in the frequency domain, often under a condition of non-coherence between …
Persistent link: https://www.econbiz.de/10005688534
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Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration
Nielsen, Morten Ørregaard; Frederiksen, Per - Economics Department, Queen's University - 2010
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/10008577427
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Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration
Nielsen, Morten Ørregaard; Frederiksen, Per - School of Economics and Management, University of Aarhus - 2010
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/10008462022