Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

A-Tier

Journal: Journal of Econometrics

Year: 2006

Volume: 133

Issue: 1

Pages: 343-371

Authors (2)

Christensen, Bent Jesper (not in RePEc) Nielsen, Morten Orregaard (Aarhus Universitet)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count