Pages that link to "Item:Q5226145"
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The following pages link to Nonstationary Cointegration in the Fractionally Cointegrated VAR Model (Q5226145):
Displaying 13 items.
- Likelihood inference for a fractionally cointegrated vector autoregressive model (Q125805) (← links)
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
- The cointegrated vector autoregressive model with general deterministic terms (Q1652953) (← links)
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach (Q2046049) (← links)
- A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
- Theory and applications of financial chaos index (Q2070531) (← links)
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend (Q2137818) (← links)
- Modelling systems with a mixture of \(I(d)\) and \(I(0)\) variables using the fractionally co-integrated VAR model (Q2311165) (← links)
- Fractional Cointegration (Q3646978) (← links)
- Testing the CVAR in the Fractional CVAR Model (Q4556513) (← links)
- The Slow Convergence of Ordinary Least Squares Estimators of <i>α</i>, <i>β</i> and Portfolio Weights under Long‐Memory Stochastic Volatility (Q5226148) (← links)
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (Q6122963) (← links)
- Fractionally integrated curve time series with cointegration (Q6635575) (← links)
