Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

By Søren Johansen. 2008

71 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/9f7f0197613688af77709f832fac2a6439d5ed1a

How researchers see this paper

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

In Finance

1. Søren Johansen
2. Morten Ørregaard Nielsen
3. Elias Oikarinen
4. Martin Hoesli
5. Muhammad Shahbaz
6. Cosimo Magazzino
7. Giuseppe Cavaliere
8. Ilhan Ozturk

In Modeling and Simulation

1. Morten Ørregaard Nielsen
2. James G. MacKinnon

Citations in the corpus

• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008, background): “Xt = C d + "t + (d b) + Yt + t; t = 1; : : : ; T; where C = ?( 0 ? ?) 1 ?: (16)”