On cointegration for processes integrated at different frequencies

This article explores the possibility of cointegration existing between processes integrated at different frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex‐ and real‐valued representations. A straightforward approach to tes...

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Veröffentlicht in:	Journal of time series analysis 2022-05, Vol.43 (3), p.412-435
Hauptverfasser:	del Barrio Castro, Tomás, Cubadda, Gianluca, Osborn, Denise R.
Format:	Artikel
Sprache:	eng
Schlagworte:	demodulator operator Demodulators Periodic cointegration polynomial cointegration Time series
Online-Zugang:	Volltext
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