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Local whittle analysis of stationary fractional cointegration and the implied realized volatility relation

Nielsen, Morten Orregaard

Local whittle analysis of stationary fractional cointegration and the implied realized volatility relation J7992 2007 - 2007 - 247-446 V. 25 Issue. 4

Subjects--Topical Terms:
Economic Statistics

Subjects--Index Terms: Fractional cointegration;Fractional integration;Long memory;Realized volatility;Semiparametric estimation;Whittle likelihood;

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