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Keyword: narrow band least squares;
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Afonso Gonçalves da Silva and Peter M Robinson
Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model, where the unobservable common factor and idiosyncratic errors are stationary and serially uncorre...Read more...
D Marinucci and Peter M Robinson
The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically s...Read more...