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

Igor Souza 1 Valderio A. Reisen 2 Pascal Bondon 3 G.C. Franco 4
1 UFMG - Universidade Federal de Minas Gerais [Belo Horizonte]
2 UFES - Departamento de Estatística
3 Division Signaux - L2S
L2S - Laboratoire des signaux et systèmes : 1289
4 Universidade Federal de Minas Gerais
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Conference papers
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https://hal-centralesupelec.archives-ouvertes.fr/hal-02358658
Contributor : Pascal Bondon <>
Submitted on : Tuesday, November 12, 2019 - 9:28:15 AM
Last modification on : Tuesday, December 10, 2019 - 11:25:01 AM

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

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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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