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Applied Economics Letters Volume 11, 2004 - Issue 13
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Original Articles

Frequency domain principal components estimation of fractionally cointegrated processes

Claudio Morana
Pages 837-842 | Published online: 22 Aug 2006

Citations (13)

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Read on this site (5)

Tobias Hartl & Roland Jucknewitz. (2022) Approximate state space modelling of unobserved fractional components. Econometric Reviews 41:1, pages 75-98.
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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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Claudio Morana & Fabio Cesare Bagliano. (2007) Inflation and monetary dynamics in the USA: a quantity-theory approach. Applied Economics 39:2, pages 229-244.
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Claudio Morana & Andrea Beltratti. (2006) Structural breaks and common factors in the volatility of the Fama–French factor portfolios. Applied Financial Economics 16:14, pages 1059-1073.
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Claudio Morana. (2004) Some frequency domain properties of fractionally cointegrated processes. Applied Economics Letters 11:14, pages 891-894.
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Articles from other publishers (8)

Tobias Hartl & Roland Jucknewitz. (2023) Multivariate Fractional Components Analysis. Journal of Financial Econometrics 21:3, pages 880-914.
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Burak Alparslan Eroğlu. (2019) Wavelet variance ratio cointegration test and wavestrapping. Journal of Multivariate Analysis 171, pages 298-319.
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Nuno Cassola & Claudio Morana. (2010) Comovements in volatility in the euro money market. Journal of International Money and Finance 29:3, pages 525-539.
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Claudio Morana. (2008) An omnibus noise filter. Computational Statistics 24:3, pages 459-479.
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Claudio Morana. (2007) Multivariate modelling of long memory processes with common components. Computational Statistics & Data Analysis 52:2, pages 919-934.
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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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