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

Valderio A. Reisen; Igor V. M. Souza; G.C. Franco; Pascal Bondon

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

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Valderio A. Reisen

Function : Author

Universade Federal Do Espirito Santo

Igor V. M. Souza

Function : Author

Universidade Federal de Minas Gerais [Belo Horizonte]

G.C. Franco

Function : Author

Universidade Federal de Minas Gerais

Pascal Bondon

Function : Author
PersonId : 21526
IdHAL : pascal-bondon
ORCID : 0000-0002-5158-7337

Laboratoire des signaux et systèmes

CV

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Statistics [stat] Statistics Theory [stat.TH]

Pascal Bondon : Connect in order to contact the contributor

https://hal-centralesupelec.archives-ouvertes.fr/hal-02003755

Submitted on : Friday, February 1, 2019-1:38:06 PM

Last modification on : Friday, October 7, 2022-3:59:35 AM

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hal-02003755 , version 1 (01-02-2019)

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HAL Id : hal-02003755 , version 1

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Valderio A. Reisen, Igor V. M. 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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The estimation and testing of the fractional cointegration order based on the frequency domain : A robust approach

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