Fractional Cointegration

DOI10.1007/978-3-540-71297-8_31zbMath1179.62114OpenAlexW4247598675MaRDI QIDQ3646978

Willa W. Chen, Clifford M. Hurvich

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_31

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Numerical methods for discrete and fast Fourier transforms (65T50)

This page was built for publication: Fractional Cointegration