Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/20008
Title: Forecasting the Nikkei spot index with fractional cointegration
Authors: Lien, D.
Tse, Y.K. 
Keywords: Conditional heteroscedasticity
Error correction model
Fractionally integrated error correction model
Martingale
Nikkei stock average index
Vector autoregression
Issue Date: 1999
Citation: Lien, D.,Tse, Y.K. (1999). Forecasting the Nikkei spot index with fractional cointegration. Journal of Forecasting 18 (4) : 259-273. ScholarBank@NUS Repository.
Source Title: Journal of Forecasting
URI: http://scholarbank.nus.edu.sg/handle/10635/20008
ISSN: 02776693
Appears in Collections:Staff Publications

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