Cointegration and sampling frequency
Author:
Affiliation:
1. Department of Economics, University of Essex, Wivenhoe Park, Colchester, Essex CO4 3SQ, UK
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/14/2/156/27678375/ectj0156.pdf
Reference29 articles.
1. Parametric and nonparametric volatility measurement;Andersen,2009
2. Estimating a cointegrating demand system;Attfield;European Economic Review,1997
3. Nonstationary continuous‐time processes;Bandi,2009
4. Continuous time stochastic models and issues of aggregation over time;Bergstrom,1984
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