Time-varying cointegration model using wavelets
type: Item
instance of: scholarly article
title: Time-varying cointegration model using wavelets
zbMATH Open document ID: 1407.62310
author: Eder Lucio da Fonseca
author: Airlane P. Alencar
author: Pedro A. Morettin
published in: Statistics \& Probability Letters
publication date: 2019-02-20T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7026250
zbMATH Keywords: time-varying VEC model
zbMATH Keywords: dynamic cointegration
zbMATH Keywords: purchasing power parity
zbMATH Keywords: wavelets
describes a project that uses: astsa
describes a project that uses: WaveThresh4
MaRDI profile type: Publication
full work available at URL: j.spl.2018.09.017
OpenAlex ID: W2897504830
cites work: Q5439961
cites work: TIME-VARYING COINTEGRATION
cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: Q4840212
cites work: Structural changes in the cointegrated vector autoregressive model
cites work: Statistical analysis of cointegration vectors
cites work: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
cites work: Q5312885
cites work: Q4488070
cites work: Q3503416
cites work: COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
cites work: Q3060353
cites work: Q3583112
cites work: Q3928851
Wikidata QID: Q129116056
DOI: 10.1016/J.SPL.2018.09.017
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description: scientific article; zbMATH DE number 7026250