Recovering cointegration via wavelets in the presence of non-linear patterns
Jorge Martínez Compains, Ignacio Rodríguez Carreño, Ramazan Gençay, Tommaso Trani and Daniel Ramos Vilardell
| Year of publication: |
2021
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| Authors: | Martínez Compains, Jorge ; Rodríguez Carreño, Ignacio ; Gençay, Ramazan ; Trani, Tommaso ; Ramos Vilardell, Daniel |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 5, p. 255-265
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| Subject: | cointegration | near cointegration | seasonal adjustment | wavelet decomposition | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Saisonale Schwankungen | Seasonal variations | Saisonkomponente | Seasonal component |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2018-0120 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012806528