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Hartl, Tobias ; Weigand, Roland

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.



Involved Institutions


Details

Item typeMonograph (Working Paper)
Journal or Publication TitleRegensburger Diskussionsbeiträge
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date2019
InstitutionsBusiness, 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
KeywordsLong memory, fractional cointegration, state space, unobserved components, factor model, realized covariance matrix
Dewey Decimal Classification300 Social sciences > 330 Economics
StatusPublished
RefereedNo, this document will not be refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-382839
Item ID38283

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