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Kingston K7L 3N6, Ontario
Queen's University - Department of Economics
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Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting
Seasonality, Economic Modeling
Seasonality, economic modelling
Asymptotic distribution theory, Financial options, High-frequency data, Long memory, Long-run relation, Narrow band least squares
Return distributions, continuous-time models, mixture-of-distributions hypothesis, financial-time sampling, high-frequency data, volatility signature plots, realized volatilities, jumps, leverage and volatility feedback effects
Cointegration, electricity prices, fractional integration, long memory, Markov switching
FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback
Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markow switching
Financial leverage, long memory, realized volatility, risk-return trade-off, stochastic volatility, stock prices, VARMA models, VIX implied volatility
Common stochastic trend, fractional cointegration, frequency domain analysis, reduced rank, zero-frequency
Fractional integration, long memory, outliers, measurement errors, structural change
Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model
cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model
Efficient Estimation, Fractional Integration, Likelihood Inference, Limiting Power, Nonstationarity, Optimal Test
Cointegration rank, cointegration space, fractional integration and cointegration, interest rates, long memory, nonparametric, term structure, variance ratio
Augmented Dickey-Fuller test, fractional integration, GLS detrending, nonparametric, nuisance parameter, tuning parameter, power envelope, unit root test, variance ratio
Bias reduction, local Whittle, long memory, perturbed fractional process, semipara
Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markov switching
Likelihood Ratio Test, Unit Root Hypothesis
Dickey-Fuller test, fractional unit root, likelihood inference
Bias reduction, local Whittle estimation, long memory stochastic volatility model
C14, C22, bias reduction, local Whittle estimation, long memory stochastic volatility model
Circular convolution theorem, fast Fourier transform, fractional difference
Likelihood Ratio Test, Seasonal Unit Root Hypothesis
Asymptotic expansion, bias, conditional inference, fractional integration, initial values, likelihood inference
fractional integration, functional central limit theorem, long memory
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Cointegration rank, efficiency, likelihood ratio test, vector autoregression
File name: ectj.
Asymptotic Local Power, Efficient Estimation, Efficient Test, Fractional Integration, Multivariate ARFIMA model, Multivariate Fractional Unit Root, Nonstationarity
File name: jtsa.
Fractional integration, generalized least squares, linear regression, long range dependence, semiparametric estimation, Whittle likelihood
File name: j-423X.
Fractional cointegration, Frequency domain, Fully modified estimation, Long memory, Semi-parametric
Additive formulation, cointegration, deterministic terms, extended model, likelihood inference, VAR model
File name: CAJE.
File name: JTSA.
Asymptotic normality, conditional‐sum‐of‐squares estimator, consistency, fractional integration, fractional time series, likelihood inference, long memory, non‐stationary, uniform convergence
Circular convolution theorem, fast Fourier transform, fractional difference.JEL. C22
Asymptotic distribution theory, high-frequency data, long memory, semiparametric methods, stationary fractional cointegration
Fractional cointegration, frequency domain, noncontemporaneous cointegration, tming, zero frequency
Brownian Motion, Fractional ARIMA, Functional Central Limit Theorem, Goodness-of-fit Test, Integrated Periodogram, Long Memory, Narrow-band Frequency Domain Least Squares
asymptotic local power, efficient test, fractional integration, Lagrange multiplier test, multivariate fractional unit root, nonstationarity
Asymptotic Local Power, Efficient Test, Fractional Integration, Lagrange Multiplier Test, Multivariate Fractional Unit Root, Nonstationarity
Cointegration Test, Fully Modified Estimation,
Cointegration Test, Fully Modified Estimation, Nonstationarity, Optimal Test, Power Envelope
Fractional Cointegration, Fractional Integration, Whittle Likelihood, Long Memory, Realized Volatility, Semiparametric Estimation
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