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A robust estimation and testing of the cointegration order based on the frequency domain
Igor V. M. Souza 1
Author
Valderio A. Reisen 2
Mail :
Author
Pascal Bondon 3
Mail :
Author IdHAL : pascal-bondon ORCID : https://orcid.org/0000-0002-5158-7337
G.C. Franco 4
Author
1
UFMG - Universidade Federal de Minas Gerais [Belo Horizonte] (Av. Antônio Carlos, 6627 - Pampulha - Belo Horizonte - MG - Brazil)
2
UFES - Departamento de Estatística (Universidade Federal do Espírito Santo Av. Fernando Ferrari Vitoria - Brazil)
- UFES - Universidade Federal do Espírito Santo (Av. Fernando Ferrari, 514 - Goiabeiras, Vitória - ES, 29075-910, Brésil - Brazil)
3
Division Signaux - L2S (France)
- L2S - Laboratoire des signaux et systèmes : 1289 (Plateau de Moulon 3 rue Joliot Curie 91192 GIF SUR YVETTE CEDEX - France)
- CNRS - Centre National de la Recherche Scientifique (France)
- CentraleSupélec (3, rue Joliot Curie, Plateau de Moulon, 91192 GIF-SUR-YVETTE Cedex - France)
- UP11 - Université Paris-Sud - Paris 11 (Bâtiment 300 - 91405 Orsay cedex - France)
4
Universidade Federal de Minas Gerais (Brazil)
Document type :
Conference papers
Domain :
Complete list of metadatas
https://hal-centralesupelec.archives-ouvertes.fr/hal-02358658
Contributor : Pascal Bondon <>
Submitted on : Tuesday, November 12, 2019 - 9:28:15 AM
Last modification on : Friday, March 6, 2020 - 3:10:05 PM
Contributor : Pascal Bondon <>
Submitted on : Tuesday, November 12, 2019 - 9:28:15 AM
Last modification on : Friday, March 6, 2020 - 3:10:05 PM
Identifiers
- HAL Id : hal-02358658, version 1
Collections
CENTRALESUPELEC | CNRS | L2S | SUP_LSS | UNIV-PARIS-SACLAY
Citation
Igor 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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