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https://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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