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Econometrics Paper
Fractional Cointegration In Stochastic Volatility Models Afonso Gonçalves da Silva and Peter M Robinson
May 2007
Paper No' EM/2007/519:
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JEL Classification: C22

Tags: fractional cointegration; stochastic volatility; narrow band least squares; semiparametric analysis.

Econometrics Paper
Semiparametric Fractional Cointegration Analysis D Marinucci and Peter M Robinson
July 2001
Paper No' EM/2001/420:
Read Abstract | Full Paper (pdf)

Tags: semiparametric analysis; fractional cointegration.