Fractional cointegration in the presence of linear trends-Reference-Cited by-同舟云学术

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Fractional cointegration in the presence of linear trends

Published:2008-10-23 Issue:6 Volume:29 Page:1088-1103
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:

Author:

Hassler Uwe,Marmol Francesc,Velasco Carlos

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2008.00597.x/fullpdf

Reference44 articles.

1. Cointegration, fractional cointegration, and exchange rate dynamics;Baillie;The Journal of Finance,1994

2. Long memory in interest rate future markets: a fractional cointegration analysis;Booth;The Journal of Future Markets,1995

3. Inference on the cointegration rank in fractionally integrated processes;Breitung;Journal of Econometrics,2002

4. Asymptotic inference for nearly nonstationary AR(1) Processes;Chan;Annals of Statistics,1987

5. Limiting distributions of least-squares estimates of unstable autoregressive processes;Chan;Annals of Statistics,1988

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Maximum Likelihood Estimation of Fractionally Cointegrated Systems;SSRN Electronic Journal;2008

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