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

Journal of Business and Economic Statistics

Volumn 25, Issue 4, 2007, Pages 427-446

  Nielsen, Morten Ørregaard ^a  

^a Department of Obstetrics Gynecology   (United States)

Author keywords

Fractional cointegration; Fractional integration; Long memory; Realized volatility; Semiparametric estimation; Whittle likelihood

Indexed keywords

EID: 35648944166     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000314     Document Type: Article

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