Functional cointegration: definition and nonparametric estimation
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Publication:905392
DOI10.1515/snde-2013-0083zbMath1329.62369OpenAlexW2024304559MaRDI QIDQ905392
Jean-Yves Pitarakis, Anurag N. Banerjee
Publication date: 19 January 2016
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/22739/1/22739.pdf
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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