Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Bent Jesper Christensen, Morten Ørregaard Nielsen
| Year of publication: |
2006
|
|---|---|
| Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 133.2006, 1, p. 343-371
|
| Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Kointegration | Cointegration | Optionsgeschäft | Option trading | Volatilität | Volatility | Theorie | Theory | USA | United States | 1988-1995 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003354581