Spurious relationships for nearly non-stationary series
Year of publication: |
2021
|
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Authors: | Cheng, Yushan ; Hui, Yongchang ; McAleer, Michael ; Wong, Wing Keung |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 8, Art.-No. 366, p. 1-24
|
Subject: | cointegration | nearly non-stationarity | non-stationarity | spurious problem | stationarity | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14080366 [DOI] hdl:10419/258470 [Handle] |
Classification: | C01 - Econometrics ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; c58 ; C60 - Mathematical Methods and Programming. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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