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Multivariate Fractional Components Analysis

Tobias Hartl () and Roland Weigand

Papers from arXiv.org

Abstract: We propose 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 competing methods.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2018-12, Revised 2019-01
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http://arxiv.org/pdf/1812.09149 Latest version (application/pdf)

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Working Paper: Multivariate Fractional Components Analysis (2019) Downloads
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