Article ID Journal Published Year Pages File Type
10482327 Physica A: Statistical Mechanics and its Applications 2005 11 Pages PDF
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
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