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Afonso Goncalves da Silva and Peter M Robinson
Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are inva...Read more...
Woocheol Kim and Oliver Linton
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of...Read more...