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Asymptotics for duration-driven long range dependent processes
Hsieh, Meng-Chen; Hurvich, Clifford M.; Soulier, Philippe - In: Journal of Econometrics 141 (2007) 2, pp. 913-949
Persistent link: https://www.econbiz.de/10005239091
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Estimating fractional cointegration in the presence of polynomial trends
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of Econometrics 117 (2003) 1, pp. 95-121
Persistent link: https://www.econbiz.de/10005192351