Forecasting the Nikkei spot index with fractional cointegration

Forecasting the Nikkei spot index with fractional cointegration

Journal of Forecasting

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Bibliographic Details
Main Authors: Lien, D., Tse, Y.K.
Other Authors: ECONOMICS
Format: Article
Published: 2011
Subjects:
Conditional heteroscedasticity
Error correction model
Fractionally integrated error correction model
Martingale
Nikkei stock average index
Vector autoregression
Online Access:http://scholarbank.nus.edu.sg/handle/10635/20008
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Institution: National University of Singapore
Description
Summary:Journal of Forecasting

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