In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana [Appl. Econ. Lett. 11 (2004) 837], concerning asymptotic properties, identification of the cointegration space and the linkage with the frequency domain least-squares estimator. An application of the approach to stock market volatility data shows that the methodology can effectively be employed for the modelling of long-run relationships, which could not be handled using the standard I(1)-I(0) cointegration approach. © 2005 Elsevier B.V. All rights reserved.

Morana, C. (2005). Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes: Some New Results and an Application to Stock Market Volatility. PHYSICA. A, 355(1), 165-175 [10.1016/j.physa.2005.02.079].

Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes: Some New Results and an Application to Stock Market Volatility

MORANA, CLAUDIO
2005

Abstract

In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana [Appl. Econ. Lett. 11 (2004) 837], concerning asymptotic properties, identification of the cointegration space and the linkage with the frequency domain least-squares estimator. An application of the approach to stock market volatility data shows that the methodology can effectively be employed for the modelling of long-run relationships, which could not be handled using the standard I(1)-I(0) cointegration approach. © 2005 Elsevier B.V. All rights reserved.
Articolo in rivista - Articolo scientifico
Fractional cointegration, long memory, frequency domain analysis, stock market volatility
English
2005
355
1
165
175
none
Morana, C. (2005). Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes: Some New Results and an Application to Stock Market Volatility. PHYSICA. A, 355(1), 165-175 [10.1016/j.physa.2005.02.079].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/25999
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