Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility

Physica A: Statistical Mechanics and its Applications

Volumn 355, Issue 1, 2005, Pages 165-175

  Morana, Claudio ^a,b  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b International Centre for Economic Research (ICER)   (Italy)

Author keywords

Fractional cointegration; Frequency domain analysis; Long memory; Stock market volatility

Indexed keywords

DATA REDUCTION; EIGENVALUES AND EIGENFUNCTIONS; LEAST SQUARES APPROXIMATIONS; MARKETING; MATHEMATICAL MODELS; MATRIX ALGEBRA; PRINCIPAL COMPONENT ANALYSIS;

FRACTIONAL COINTEGRATION; LONG MEMORY; ROOT-N CONSISTENT ESTIMATOR (RNC); STOCK MARKET VOLATILITY;

FREQUENCY DOMAIN ANALYSIS;

EID: 21444460651     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.02.079     Document Type: Conference Paper

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