Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities - Université Paris Nanterre
Journal Articles Computational Economics Year : 2015

Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities

Marcel Aloy
  • Function : Author
Gilles de Truchis
EconomiX

Abstract

Forthcoming

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Economics and Finance

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https://hal.parisnanterre.fr/hal-01410660

Submitted on : Tuesday, December 6, 2016-5:18:31 PM

Last modification on : Tuesday, August 29, 2023-2:26:06 PM

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hal-01410660 , version 1 (06-12-2016)

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  • HAL Id : hal-01410660 , version 1

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Marcel Aloy, Gilles de Truchis. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities. Computational Economics, 2015. ⟨hal-01410660⟩

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CNRS ECONOMIX UNIV-PARIS-LUMIERES UNIV-PARIS-NANTERRE
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