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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-382839
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.38283
Zusammenfassung
We investigate a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of different strengths and is applicable in high-dimensional settings. In an application to realized covariance matrices, we find that orthogonal short- and ...
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