Cointegration in high frequency data

DOI10.1214/21-EJS1805zbMath1472.62134arXiv1905.07081OpenAlexW3133400789MaRDI QIDQ2044337

Yoann Potiron, Simon Clinet

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.07081

zbMATH Keywords

truncationdeflationcointegrationhigh frequency dataunit root testresidual based testItô-semimartingale

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48) Non-Markovian processes: hypothesis testing (62M07)

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