A multivariate test against spurious long memory
Philipp Sibbertsen, Christian Leschinski, Marie Busch
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 203.2018, 1, p. 33-49
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| Subject: | Multivariate long memory | Semiparametric estimation | Spurious long memory | Fractional cointegration | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Volatilität | Kointegration | Cointegration | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974604