Small-b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration

Javier Hualde; Fabrizio Iacone

doi:10.1111/jtsa.12113

Small-b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration

Economics

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	528-540
Number of pages	13
Journal	Journal of Time Series Analysis
Volume	36
Issue number	4
Early online date	3 Feb 2015
DOIs	https://doi.org/10.1111/jtsa.12113
Publication status	Published - Jul 2015

Bibliographical note

© 2015, The publisher. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details

Access to Document

10.1111/jtsa.12113

Small-b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration
© 2015, The publisher. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details
Accepted author manuscript, 490 KB

Cite this

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