Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation
Morten Ørregaard Nielsen
| Year of publication: |
2007
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|---|---|
| Authors: | Nielsen, Morten Ørregaard |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 25.2007, 4, p. 427-446
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| Subject: | Kointegration | Cointegration | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematik | Mathematics |
| 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/10003566055