Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility

Claudio Morana

Physica A: Statistical Mechanics and its Applications, 2005, vol. 355, issue 1, 165-175

Abstract: In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana [Appl. Econ. Lett. 11 (2004) 837], concerning asymptotic properties, identification of the cointegration space and the linkage with the frequency domain least-squares estimator. An application of the approach to stock market volatility data shows that the methodology can effectively be employed for the modelling of long-run relationships, which could not be handled using the standard I(1)–I(0) cointegration approach.

Keywords: Fractional cointegration; Long memory; Frequency domain analysis; Stock market volatility (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:355:y:2005:i:1:p:165-175

DOI: 10.1016/j.physa.2005.02.079

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