Browsing by Subject "Fractional Cointegration"

Browsing by Subject "Fractional Cointegration"

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  • Becker, Janis (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This thesis contains six essays on financial time series. Special attention is paid to the opportunities that high-frequency data offers for modeling and forecasting the return and the risk, measured by the volatility or ...
  • Voges, Michelle (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2019)
    This thesis contains five essays on fractional cointegration, seasonal fractional cointegration and seasonal long memory. After an introduction in the first Chapter, Chapter 2 reviews competing tests for fractional ...