Cointegration in frequency domain

DOI10.1111/1467-9892.00267zbMath1022.62089OpenAlexW3023207919MaRDI QIDQ4431623

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Publication date: 22 October 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00267

zbMATH Keywords

frequency domain analysiscommon stochastic trendzero-frequencycrosspectrum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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