A multivariate test against spurious long memory
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Publication:1706443
DOI10.1016/j.jeconom.2017.07.005zbMath1386.62029OpenAlexW827733939MaRDI QIDQ1706443
Christian Leschinski, Marie Busch, Philipp Sibbertsen
Publication date: 22 March 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-547.pdf
semiparametric estimationvolatilityfractional cointegrationspurious long memorymultivariate long memory
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
Related Items (3)
Long memory, spurious memory: persistence in range-based volatility of exchange rates ⋮ Estimation of slowly time-varying trend function in long memory regression models ⋮ Change-in-mean tests in long-memory time series: a review of recent developments
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