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My bibliography Save this paperAn Extension of Cointegration to Fractional Autoregressive Processes
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- Søren Johansen, 2011. "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers 2011-06, Department of Economics and Business Economics, Aarhus University.
References listed on IDEAS
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Citations
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Cited by:
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Robert Mudida, 2015.
"Testing the Marshall–Lerner Condition in Kenya,"
South African Journal of Economics, Economic Society of South Africa, vol. 83(2), pages 253-268, June.
- Luis Alberiko Gil-Alaña & Guiglielmo Maria Caporale & Robert Mudida, 2012. "Testing the Marshall-Lerner condition in Kenya," NCID Working Papers 09/2012, Navarra Center for International Development, University of Navarra.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida, 2012. "Testing the Marshall-Lerner Condition in Kenya," Discussion Papers of DIW Berlin 1247, DIW Berlin, German Institute for Economic Research.
- Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012.
"The Deaton paradox in a long memory context with structural breaks,"
Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
- Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
- Luis Alberiko Gil-Alana & Antonio Moreno & Seonghoon Cho, 2011. "The Deaton paradox in a long memory context with structural breaks," Post-Print hal-00711450, HAL.
- Guglielmo Caporale & Luis Gil-Alana, 2014.
"Fractional integration and cointegration in US financial time series data,"
Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo.
- Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012. "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers 12/12, School of Economics and Business Administration, University of Navarra.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
- Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
- Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
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More about this item
Keywords
cofractional processes; cointegration rank; fractional cointegration; likelihood inference; vector autoregressive model;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-10-30 (Econometrics)
- NEP-ETS-2010-10-30 (Econometric Time Series)
- NEP-ORE-2010-10-30 (Operations Research)
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