Modeling multivariate time series with fractional integration in macroeconomics and finance

vorgelegt von Roland Weigand

Alternative title:	Die Modellierung multivariater Zeitreihen mit fraktionaler Integration in Makroökonomie und Finanzmarktanalyse
Year of publication:	2018
Authors:	Weigand, Roland
Other Persons:	Tschernig, Rolf (degree supervisor) ; Weber, Enzo (degree supervisor)
Publisher:	Regensburg : Universitätsbibliothek Regensburg
Subject:	Structural vector autoregression \| long-run restriction \| finite-horizon identification \| fractional integration \| impulse response function \| long memory \| misspecification \| fractional cointegration \| state space \| unobserved components \| factor model \| realized covariance matrix \| dynamic correlation \| semiparametric estimation \| density forecasting \| Zeitreihenanalyse \| Time series analysis \| VAR-Modell \| VAR model \| Kointegration \| Cointegration \| Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| Schätzung \| Estimation \| Makroökonomik \| Macroeconomics \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Prognoseverfahren \| Forecasting model

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Weigand, Roland. Modeling multivariate time series with fractional integration in macroeconomics and finance. - 162 S., graph. Darst

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