Optimal time interval selection in long-run correlation estimation
Year of publication: |
2020
|
---|---|
Authors: | Albuquerque, Pedro H. |
Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 18.2020, 1, p. 53-79
|
Subject: | Long-run correlation | Bartlett | Lag selection | Alignment | Newey-West | Andrews-Monahan | Korrelation | Correlation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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