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

Bent Jesper Christensen and Morten Nielsen

Journal of Econometrics, 2006, vol. 133, issue 1, 343-371

Date: 2006
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Working Paper: Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:133:y:2006:i:1:p:343-371

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