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Nonstationary Cointegration In The Fractionally Cointegrated Var Model. (2018). Nielsen, Morten ; Johansen, Soren.
In: Working Paper.
RePEc:qed:wpaper:1405.

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Cited: 6

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Cites: 19

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Cocites: 31

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Coauthors: 0

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  1. Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence. (2021). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Rachinger, Heiko ; Andrada-Felix, Julian.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100067x.

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  2. Truncated sum of squares estimation of fractional time series models with deterministic trends. (2020). Nielsen, Morten ; Hualde, Javier.
    In: CREATES Research Papers.
    RePEc:aah:create:2020-07.

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  3. Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico.
    In: Discussion Papers.
    RePEc:not:notgts:19/01.

    Full description at Econpapers || Download paper

  4. A Comparison of Semiparametric Tests for Fractional Cointegration. (2019). Sibbertsen, Philipp ; Voges, Michelle ; Leschinski, Christian.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-651.

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  5. Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model. (2019). Li, Zhenxiong ; Izzeldin, Marwan ; Yao, Xingzhi.
    In: Economics Letters.
    RePEc:eee:ecolet:v:181:y:2019:i:c:p:160-163.

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  6. Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico.
    In: CREATES Research Papers.
    RePEc:aah:create:2019-02.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Barunik, J., and Dvorakova, S. (2015). An empirical model of fractionally cointegrated daily high and low stock market prices. Economic Modelling 45, 193–206.

  2. Caporin, M., Ranaldo, A., and Santucci de Magistris, P. (2013). On the predictability of stock prices: a case for high and low prices. Journal of Banking & Finance 37, 5132–5146.

  3. Carlini, F., and Santucci de Magistris, P. (2017). On the identification of fractionally cointegrated VAR models with the F(d) condition. Journal of Business & Economic Statistics, forthcoming. DOI: 10.1080/07350015.2017.1294077.

  4. Dolatabadi, S., Nielsen, M.Ø., and Xu, K. (2016). A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. Journal of Empirical Finance 38B, 623–639.

  5. Horn, R.A., and Johnson, C.R. (2013). Matrix Analysis, second ed., Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  6. Hualde, J., and Robinson, P.M. (2011). Gaussian pseudo-maximum likelihood estimation of fractional time series models. Annals of Statistics 39, 3152–3181.
    Paper not yet in RePEc: Add citation now

  7. Jensen, A.N., and Nielsen, M.Ø. (2014). A fast fractional difference algorithm. Journal of Time Series Analysis 35, 428–436.

  8. Johansen, S. (1996). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, 2nd ed., Oxford University Press, Oxford.
    Paper not yet in RePEc: Add citation now

  9. Johansen, S. (2008). A representation theory for a class of vector autoregressive models for fractional processes. Econometric Theory 24, 651–676.

  10. Johansen, S., and Nielsen, M.Ø. (2010). Likelihood inference for a nonstationary fractional autoregressive model. Journal of Econometrics 158, 51–66.

  11. Johansen, S., and Nielsen, M.Ø. (2012a). Likelihood inference for a fractionally cointegrated vector autoregressive model. Econometrica 80, 2667–2732.

  12. Johansen, S., and Nielsen, M.Ø. (2012b). A necessary moment condition for the fractional functional central limit theorem. Econometric Theory 28, 671–679.

  13. Johansen, S., and Nielsen, M.Ø. (2016). The role of initial values in conditional sum-ofsquares estimation of nonstationary fractional time series models. Econometric Theory 32, 1095–1139.

  14. Johansen, S., and Nielsen, M.Ø. (2018). Testing the CVAR in the fractional CVAR model. QED working paper 1394, Queen’s University. Journal of Time Series Analysis, forthcoming. DOI: 10.1111/jtsa.12300.

  15. Magnus, J.R., and Neudecker, H. (1999). Matrix Differential Calculus with Applications in Statistics and Econometrics, revised ed., John Wiley and Sons, New York.
    Paper not yet in RePEc: Add citation now

  16. Nielsen, M.Ø., and Popiel, M.K. (2016). A Matlab program and user’s guide for the fractionally cointegrated VAR model, QED working paper 1330, Queen’s University.

  17. Rutherford, D.E. (1948). Some continuant determinants arising in physics and chemistry. Proceedings of the Royal Society of Edinburgh Section A: Mathematics 62, 229–
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  18. Tanaka, K. (1996). Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, John Wiley and Sons, New York. Nonstationary cointegration in the fractionally cointegrated VAR model 27
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  19. Taqqu, M.S. (1975). Weak convergence to fractional Brownian motion and to the Rosenblatt process. Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 31, 287–302.
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