Small-b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration

Hualde, Javier and Iacone, Fabrizio orcid.org/0000-0002-2681-9036 (2015) Small-b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration. Journal of Time Series Analysis. pp. 528-540. ISSN 1467-9892

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Copyright, Publisher and Additional Information: © 2015, The publisher. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details
Dates:
  • Published: July 2015
  • Published (online): 3 February 2015
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 09 Mar 2016 11:18
Last Modified: 05 Jan 2020 03:17
Published Version: https://doi.org/10.1111/jtsa.12113
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1111/jtsa.12113

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Description: Small-b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration

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