Multivariate Fractional Components Analysis
Tobias Hartl () and
Papers from arXiv.org
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.
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Date: 2018-12, Revised 2019-01
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Working Paper: Multivariate Fractional Components Analysis (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1812.09149
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