Economics at your fingertips  

Multivariate Fractional Components Analysis

Tobias Hartl () and Roland Weigand

Papers from

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) Latest version (application/pdf)

Related works:
Working Paper: Multivariate Fractional Components Analysis (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2019-09-09
Handle: RePEc:arx:papers:1812.09149