کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10482327 | 933412 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility](/preview/png/10482327.png)
چکیده انگلیسی
In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana [Appl. Econ. Lett. 11 (2004) 837], concerning asymptotic properties, identification of the cointegration space and the linkage with the frequency domain least-squares estimator. An application of the approach to stock market volatility data shows that the methodology can effectively be employed for the modelling of long-run relationships, which could not be handled using the standard I(1)-I(0) cointegration approach.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 165-175
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 165-175
نویسندگان
Claudio Morana,