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Multivariate Fractional Components Analysis
Hartl, Tobias
and Weigand, Roland
(2019)
Multivariate Fractional Components Analysis.
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft,
Working Paper.
Date of publication of this fulltext: 29 Jan 2019 14:48
Monograph
DOI to cite this document: 10.5283/epub.38283
Abstract
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 ...
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 long-memory components provide a reasonable fit and competitive out-of-sample performance compared to several competitor methods.
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Details
| Item type | Monograph (Working Paper) | ||||||||||
| Journal or Publication Title | Regensburger Diskussionsbeiträge | ||||||||||
| Series of the University of Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||||||||
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| Date | 2019 | ||||||||||
| Institutions | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie | ||||||||||
| Identification Number |
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| Classification |
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| Keywords | Long memory, fractional cointegration, state space, unobserved components, factor model, realized covariance matrix | ||||||||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||||||||
| Status | Published | ||||||||||
| Refereed | No, this document will not be refereed | ||||||||||
| Created at the University of Regensburg | Yes | ||||||||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-382839 | ||||||||||
| Item ID | 38283 |
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