Multivariate Fractional Components Analysis

URN to cite this document:: urn:nbn:de:bvb:355-epub-382839
DOI to cite this document:: 10.5283/epub.38283

Hartl, Tobias

; Weigand, Roland

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Date of publication of this fulltext: 29 Jan 2019 14:48

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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 ...