Cointegrated dynamics for a generalized long memory process : application to interest rates
Year of publication: |
2020
|
---|---|
Authors: | Asai, Manabu ; Peiris, Shelton ; McAleer, Michael ; Allen, David E. |
Subject: | long memory processes | Gegenbauer process | Dickey-Fuller Tests | cointegration | differencing | interest rates | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Zins | Interest rate | ARMA-Modell | ARMA model | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test |
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