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Keyword: semiparametric analysis;
2 results found.
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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
Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related se...Read more...