Title of article
LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
Author/Authors
Peter C.B. Phillips and Chang Sik Kim، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
15
From page
1233
To page
1247
Abstract
An asymptotic expansion is given for the autocovariance matrix of a vector of
stationary long-memory processes with memory parameters d @0, 1
2
_ !+ The theory
is then applied to deliver formulas for the long-run covariance matrices of multivariate
time series with long memory+
Journal title
ECONOMETRIC THEORY
Serial Year
2007
Journal title
ECONOMETRIC THEORY
Record number
707402
Link To Document