This article explores the possibility of cointegration existing between processes integrated at different frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to test for the presence of cointegration between processes integrated at different frequencies is proposed, with a Monte Carlo study and an application showing that the testing approach works well.
Barrio Castro, T., Cubadda, G., Osborn, D.r. (2021). On cointegration for processes integrated at different frequencies. JOURNAL OF TIME SERIES ANALYSIS, 43(3), 412-435 [10.1111/jtsa.12620].
On cointegration for processes integrated at different frequencies
Gianluca Cubadda;
2021-09-24
Abstract
This article explores the possibility of cointegration existing between processes integrated at different frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to test for the presence of cointegration between processes integrated at different frequencies is proposed, with a Monte Carlo study and an application showing that the testing approach works well.File | Dimensione | Formato | |
---|---|---|---|
del Bario Castro&al_JTSA.pdf
accesso aperto
Tipologia:
Versione Editoriale (PDF)
Licenza:
Copyright dell'editore
Dimensione
691.75 kB
Formato
Adobe PDF
|
691.75 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.