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Applied Economics Letters Volume 11, 2004 - Issue 14
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Original Articles

Some frequency domain properties of fractionally cointegrated processes

Claudio Morana
Pages 891-894 | Published online: 22 Aug 2006

Citations (4)

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Read on this site (1)

Claudio Morana. (2007) A structural common factor approach to core inflation estimation and forecasting. Applied Economics Letters 14:3, pages 163-169.
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Articles from other publishers (3)

Claudio Morana. (2006) A small scale macroeconometric model for the Euro-12 area. Economic Modelling 23:3, pages 391-426.
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A. Beltratti & C. Morana. (2006) Breaks and persistency: macroeconomic causes of stock market volatility. Journal of Econometrics 131:1-2, pages 151-177.
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Claudio Morana. (2005) Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility. Physica A: Statistical Mechanics and its Applications 355:1, pages 165-175.
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