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The estimation and testing of the fractional cointegration order based on the frequency domain : A robust approach

Valderio A. Reisen 1 Igor Souza 2 G.C. Franco 3 Pascal Bondon 4
1 Universade Federal Do Espirito Santo
2 UFMG - Universidade Federal de Minas Gerais [Belo Horizonte]
3 Universidade Federal de Minas Gerais
4 L2S - Laboratoire des signaux et systèmes
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Conference papers
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https://hal-centralesupelec.archives-ouvertes.fr/hal-02003755
Contributor : Pascal Bondon <>
Submitted on : Friday, February 1, 2019 - 1:38:06 PM
Last modification on : Wednesday, September 16, 2020 - 4:49:08 PM

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  • HAL Id : hal-02003755, version 1

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CENTRALESUPELEC | CNRS | SUP_LSS | L2S | UNIV-PARIS-SACLAY | SUP_SIGNAUX

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Valderio A. Reisen, Igor Souza, G.C. Franco, Pascal Bondon. The estimation and testing of the fractional cointegration order based on the frequency domain : A robust approach. 12th International Conference on Computational and Financial Econometrics, Dec 2018, Pisa, Italy. ⟨hal-02003755⟩

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