Fractional integration and cointegration

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OriginalsprogEngelsk
TitelOxford Research Encyclopedias : Economics and Finance
UdgivelsesstedOxford
ForlagOxford University Press
Publikationsdatofeb. 2023
DOI
StatusUdgivet - feb. 2023

Emneord

  • Arfima model
  • cofractional
  • cointegration
  • fractional Brownian motion
  • fractional integration
  • long memory
  • long-range dependence
  • nonstationary
  • strong dependence

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