出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：Nonlinear functions of multivariate financial time series can exhibit long
memory and fractional cointegration. However, tools for analysing these
phenomena have principally been justified under assumptions that are invalid in
this setting. Determination of asymptotic theory under more plausible
assumptions can be complicated and lengthy. We discuss these issues and present
a Monte Carlo study, showing that asymptotic theory should not necessarily be
expected to provide a good approximation to finite-sample behaviour.
