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Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high frequency

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001599613

Simple tests for cointegration in dependent panels with structural breaks

Westerlund, Joakim (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003319318

Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation

Nielsen, Morten Ørregaard (contributor) - 2006

Persistent link: https://www.econbiz.de/10003301063

Trends and breaks in cointegrated VAR models

Hungnes, Hårvard - 2006

Persistent link: https://www.econbiz.de/10003321336

Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation

Nielsen, Morten Ørregaard - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 427-446

Persistent link: https://www.econbiz.de/10003566055

Cointegration analysis under measurement errors

Hassler, Uwe; Kuzin, Vladimir - In: Measurement error : consequences, applications and solutions, (pp. 131-150). 2009

We study the effect of errors-in-variables [EV] on cointegration tests and cointegrating regressions. It turns out that the rate of convergence of static ordinary least squares [OLS] estimators is not affected by EV, whereas the limiting distribution does change. However, procedures accounting...

Persistent link: https://www.econbiz.de/10015382601