Search Results - subject:"Narrow-band frequency domain least squares"

Long memory cointegration and dynamic connectedness of volatility in US dollar exchange rates, with FOREX portfolio investment strategy

Ajao, Isaac O.; Olayinka, Hammed A.; Olugbode, Moruf A.; … - In: Quantitative finance and economics 7 (2023) 4, pp. 646-664

Persistent link: https://www.econbiz.de/10015125396

Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence

Nielsen, Morten Oe. - School of Economics and Management, University of Aarhus

Central Limit Theorem; Goodness- of-fit Test; Integrated Periodogram; Long Memory; Narrow-band Frequency Domain Least Squares … the nonstationary case, is narrow-band frequency domain least squares (FDLS) estimation of β in the model (bivariate for …

Persistent link: https://www.econbiz.de/10005114038