arXiv 21 Dec 2018 · Econometrics · publishedJournal of Financial Econometrics (2021) · 1 citations (OpenAlex)
arXiv:1812.09149 · PDF · DOI · OpenAlex · Extracted main text
We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of different strengths and is applicable in high-dimensional settings. In an application to realized covariance matrices, we find that orthogonal short- and long-memory components provide a reasonable fit and competitive out-of-sample performance compared to several competing methods.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hualde \ Robinson (2010) Semiparametric inference in multivariate fractionally cointegrated systems, Journal of Econometrics 157(2): 492–511 | 1.000 | 6 | 3 | 100% |
| 2 | Matteson \ Tsay (2011) Dynamic orthogonal components for multivariate time series, Journal of the American Statistical Association 106(496): 1450–1463 | 1.000 | 5 | 3 | 100% |
| 3 | Pan \ Yao (2008) Modelling multiple time series via common factors, Biometrika 95(2): 365–379 | 1.000 | 5 | 3 | 100% |
| 4 | Johansen (2008) A representation theory for a class of vector autoregressive models for fractional processes, Econometric Theory 24(3): 651–676 | 0.961 | 9 | 3 | 89% |
| 5 | Hualde (2009) Consistent estimation of cointegrating subspaces | 0.928 | 4 | 3 | 100% |
| 6 | Johansen \ Nielsen (2012) Likelihood inference for a fractionally cointegrated vector autoregressive model, Econometrica 80(6): 26672732 | 0.843 | 3 | 3 | 100% |
| 7 | Weigand (2014) Matrix Box-Cox models for multivariate realized volatility, University of Regensburg Working Papers in Business, Economics and M… self | 0.822 | 6 | 2 | 83% |
| 8 | Chiriac \ Voev (2011) Modelling and forecasting multivariate realized volatility, Journal of Applied Econometrics 26(6): 922–947 | 0.737 | 4 | 2 | 75% |
| 9 | Avarucci \ Velasco (2009) A Wald test for the cointegration rank in nonstationary fractional systems, Journal of Econometrics 151(2): 178 – 189 | 0.737 | 3 | 2 | 100% |
| 10 | Bauer \ Wagner (2012) A state space canonical form for unit root processes, Econometric Theory 28(6): 13131349 | 0.644 | 4 | 1 | 100% |
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