Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10482327 | Physica A: Statistical Mechanics and its Applications | 2005 | 11 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Claudio Morana,