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A robust estimation and testing of the cointegration order based on the frequency domain

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Statistics Theory [stat.TH]

Pascal Bondon  : Connect in order to contact the contributor

https://hal-centralesupelec.archives-ouvertes.fr/hal-02358658

Submitted on : Tuesday, November 12, 2019-9:28:15 AM

Last modification on : Friday, March 24, 2023-2:53:13 PM

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hal-02358658 , version 1 (12-11-2019)

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  • HAL Id : hal-02358658 , version 1

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Igor V. M. Souza, Valderio A. Reisen, Pascal Bondon, G.C. Franco. A robust estimation and testing of the cointegration order based on the frequency domain. 13th International Conference on Computational and Financial Econometrics, Dec 2019, London, United Kingdom. ⟨hal-02358658⟩

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CNRS SUP_LSS SUP_SIGNAUX CENTRALESUPELEC UNIV-PARIS-SACLAY GS-ENGINEERING GS-COMPUTER-SCIENCE
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