Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926)
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scientific article; zbMATH DE number 6573063
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting |
scientific article; zbMATH DE number 6573063 |
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (English)
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25 April 2016
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asymptotic distribution theory
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high-frequency data
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long memory
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semiparametric methods
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stationary fractional cointegration
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0.8955738
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0.8933275
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0.87975764
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0.87318414
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0.8700575
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0.86909294
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0.86849034
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