Fractional cointegration analysis of nonlinear time series with long memory
This thesis develops theoretical tools for fractional cointegration analysis of nonlinear time series. These tools are employed to establish consistency of narrow band versions of Least Squares and Principal Components, in situations when the observables do not follow traditional linear process assu...
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London School of Economics and Political Science (University of London)
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645711 |