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Multivariate Fractional Components Analysis
Hartl, Tobias
und Weigand, Roland
(2019)
Multivariate Fractional Components Analysis.
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft,
Working Paper.
Veröffentlichungsdatum dieses Volltextes: 29 Jan 2019 14:48
Monographie
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 ...
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
| Dokumentenart | Monographie (Working Paper) | ||||||||||
| Titel eines Journals oder einer Zeitschrift | Regensburger Diskussionsbeiträge | ||||||||||
| Schriftenreihe der Universität Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||||||||
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| Datum | 2019 | ||||||||||
| Institutionen | Wirtschaftswissenschaften > Institut für Volkswirtschaftslehre und Ökonometrie | ||||||||||
| Identifikationsnummer |
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| Klassifikation |
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| Stichwörter / Keywords | Long memory, fractional cointegration, state space, unobserved components, factor model, realized covariance matrix | ||||||||||
| Dewey-Dezimal-Klassifikation | 300 Sozialwissenschaften > 330 Wirtschaft | ||||||||||
| Status | Veröffentlicht | ||||||||||
| Begutachtet | Nie, das Dokument wird nicht wissenschaftlich begutachtet werden | ||||||||||
| An der Universität Regensburg entstanden | Ja | ||||||||||
| URN der UB Regensburg | urn:nbn:de:bvb:355-epub-382839 | ||||||||||
| Dokumenten-ID | 38283 |
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