A multivariate test against spurious long memory
type: Item
instance of: scholarly article
title: A multivariate test against spurious long memory
zbMATH Open document ID: 1386.62029
author: Philipp Sibbertsen
author: Christian Leschinski
author: Marie Busch
published in: Journal of Econometrics
publication date: 2018-03-22T00:00:00Z
full work available at URL: dp-547.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6852079
zbMATH Keywords: multivariate long memory
zbMATH Keywords: semiparametric estimation
zbMATH Keywords: spurious long memory
zbMATH Keywords: fractional cointegration
zbMATH Keywords: volatility
MaRDI profile type: Publication
OpenAlex ID: W827733939
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DOI: 10.1016/J.JECONOM.2017.07.005
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description: scientific article; zbMATH DE number 6852079