CREATES

Fractional integration and cointegration

Research output: Working paper/Preprint Working paper

Standard

Fractional integration and cointegration. / Haulde, Javier; Nielsen, Morten Ørregaard.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2022.

Research output: Working paper/Preprint Working paper

Harvard

Haulde, J & Nielsen, MØ 2022 'Fractional integration and cointegration' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Haulde, J., & Nielsen, M. Ø. (2022). Fractional integration and cointegration. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2022-02

CBE

Haulde J, Nielsen MØ. 2022. Fractional integration and cointegration. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Haulde, Javier and Morten Ørregaard Nielsen Fractional integration and cointegration. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2022-02). 2022., 59 p.

Vancouver

Haulde J, Nielsen MØ. Fractional integration and cointegration. Aarhus: Institut for Økonomi, Aarhus Universitet. 2022 Jan 10.

Author

Haulde, Javier ; Nielsen, Morten Ørregaard. / Fractional integration and cointegration. Aarhus : Institut for Økonomi, Aarhus Universitet, 2022. (CREATES Research Papers; No. 2022-02).

Bibtex

@techreport{638ec457d5074779a96515e3af72ca82,
title = "Fractional integration and cointegration",
abstract = "In this chapter we present an overview of the main ideas and methods in the fractional integration and cointegration literature. We do not attempt to give a complete survey of this enormous literature, but rather a more introductory treatment suitable for a researcher or graduate student wishing to learn about this exciting field of research. With this aim, we have surely overlooked many relevant references for which we apologize in advance. Knowledge of standard time series methods, and in particular methods related to nonstationary time series, at the level of a standard graduate course or advanced undergraduate course is assumed.",
keywords = "Arfima model, cofractional, cointegration, fractional Brownian motion, fractional integration, long memory, long-range dependence, nonstationary, strong dependence",
author = "Javier Haulde and Nielsen, {Morten {\O}rregaard}",
year = "2022",
month = jan,
day = "10",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2022-02",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Fractional integration and cointegration

AU - Haulde, Javier

AU - Nielsen, Morten Ørregaard

PY - 2022/1/10

Y1 - 2022/1/10

N2 - In this chapter we present an overview of the main ideas and methods in the fractional integration and cointegration literature. We do not attempt to give a complete survey of this enormous literature, but rather a more introductory treatment suitable for a researcher or graduate student wishing to learn about this exciting field of research. With this aim, we have surely overlooked many relevant references for which we apologize in advance. Knowledge of standard time series methods, and in particular methods related to nonstationary time series, at the level of a standard graduate course or advanced undergraduate course is assumed.

AB - In this chapter we present an overview of the main ideas and methods in the fractional integration and cointegration literature. We do not attempt to give a complete survey of this enormous literature, but rather a more introductory treatment suitable for a researcher or graduate student wishing to learn about this exciting field of research. With this aim, we have surely overlooked many relevant references for which we apologize in advance. Knowledge of standard time series methods, and in particular methods related to nonstationary time series, at the level of a standard graduate course or advanced undergraduate course is assumed.

KW - Arfima model

KW - cofractional

KW - cointegration

KW - fractional Brownian motion

KW - fractional integration

KW - long memory

KW - long-range dependence

KW - nonstationary

KW - strong dependence

M3 - Working paper

T3 - CREATES Research Papers

BT - Fractional integration and cointegration

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -