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Multivariate Fractional Components Analysis

Hartl, Tobias and Weigand, Roland (2019) Multivariate Fractional Components Analysis. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft, Working Paper.

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

at arXiv

Other URL: https://arxiv.org/abs/1812.09149


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 ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:2019
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Identification Number:
ValueType
1812.09149arXiv ID
Classification:
NotationType
C32Journal of Economics Literature Classification
C51Journal of Economics Literature Classification
C53Journal of Economics Literature Classification
C58Journal of Economics Literature Classification
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
Item ID:38283
Owner only: item control page

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