Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Yunus Emre Ergemen, Carlos Velasco
| Year of publication: |
February 2017
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|---|---|
| Authors: | Ergemen, Yunus Emre ; Velasco, Carlos |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 196.2017, 2, p. 248-258
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| Subject: | Fractional cointegration | Factor models | Long memory | Realized volatility | Kointegration | Cointegration | Volatilität | Volatility | Panel | Panel study | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.05.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818289