Spectral Analysis of Fractionally Cointegrated Systems

By Morten Ørregaard Nielsen. 2004

63 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/62c92a5829e2d050f2587b5a5007e1b663c26d6b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Morten Ørregaard Nielsen
2. Katsumi Shimotsu
3. Peter C. B. Phillips
4. L. Gil‐Alana
5. Peter M. Robinson
6. Zhongjun Qu
7. Guiglielmo Maria Caporale
8. J. Hualde

In Finance

1. Morten Ørregaard Nielsen
2. Katsumi Shimotsu
3. Peter C. B. Phillips
4. Peter M. Robinson
5. L. Gil‐Alana
6. Zhongjun Qu
7. Per Frederiksen
8. Guiglielmo Maria Caporale

In Statistical and Nonlinear Physics

1. Morten Ørregaard Nielsen
2. Katsumi Shimotsu

Citations in the corpus

• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, methodology): “For example, if the system (1) is generated by (2)-(3) the approximation of the spectral density of the first element of X1t is G11 ¡ 1 +O ¡ λb1 ¢ +O ¡ λβ ¢¢ under Assumption 1 0 , see Nielsen (2004a).”