Bivariate FIGARCH and Fractional Cointegration
نویسندگان
چکیده
منابع مشابه
Bivariate FIGARCH and fractional cointegration
We consider the modelling of volatility on closely related markets. Univariate fractional Ž . volatility FIGARCH models are now standard, as are multivariate GARCH models. In this paper, we adopt a combination of the two methodologies. There is as yet little consensus on the methodology for testing for fractional cointegration. The contribution of this paper is to demonstrate the feasibility of...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.205674