Gaussian Semi‐parametric Estimation of Fractional Cointegration

By Carlos Velasco. 2003

70 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4d3dfd5d1bca5342ac12b7eaf2301372c7d235a8

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Citations in the corpus

Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “Although this may indeed be a valid course of action, see Velasco (2003) and Hassler, Marmol, and Velasco (2006) for the nonstationary case, a joint estimation method for the integration orders and the cointegration vector would be preferable.”
Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “In a bivariate context, Velasco [23] has considered properties of semiparametric memory parameter estimates based on cointegrating residuals under certain assumptions on the rate of convergence of the semiparametric estimator of the cointegrating parameters.”
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (2006, background): “Formally, Velasco (2003) shows that Robinson’s (1995a) Gaussian semiparametric estimator applies for residuals under additional regularity and bandwidth conditions.”
Modelling structural breaks, long memory and stock market volatility: an overview (2005, unknown): “…test; Robinson and Yajima (2002) develop methods of investigating the existence and extent of cointegration in fractionally integrated systems; Velasco (2003) considers consistent estimation of the memory parameters of a nonstationary fractionally cointegrated vector time series; Nielsen…”
Fully modified narrow‐band least squares estimation of weak fractional cointegration (2011, unknown): “Similar results for the nonstationary case are provided by, e.g., Velasco (2003).”
Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “…relation are Cheung & Lai (1993), Baillie & Bollerslev (1994), Dueker & Startz (1998), Kim & Phillips (2001), and Nielsen (2004), among others, and using semiparametric methods Marinucci & Robinson (2001), Robinson & Marinucci (2003), Velasco (2003), and Christensen & Nielsen (2006), among others.”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, background): “…are emerging, e.g. Breitung and Hassler (2002), Chen and Hurvich (2003a, 2003b, 2004), Robinson and Hualde (2003), Robinson and Marinucci (2003), Velasco (2003a, 2003b), Dolado and Marmol (2004), Nielsen (2004b), Christensen and Nielsen (2004), Marmol and Velasco (2004), Hassler and Breitung…”