Multivariate Fractional Components Analysis

Tobias Hartl () and Roland Weigand
Authors registered in the RePEc Author Service: Roland Jucknewitz

University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics

Abstract: We investigate 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 competitor methods.

Keywords: Long memory; fractional cointegration; state space; unobserved components; factor model; realized covariance matrix (search for similar items in EconPapers)
JEL-codes: C32 C51 C53 C58 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Multivariate Fractional Components Analysis (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bay:rdwiwi:38283

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