On cointegration for processes integrated at different frequencies

del Barrio Castro, T.; Cubadda, G.; Osborn, D.R.

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dc.contributor.author	del Barrio Castro, T.
dc.contributor.author	Cubadda, G.
dc.contributor.author	Osborn, D.R.
dc.date.accessioned	2025-05-07T05:41:46Z
dc.date.available	2025-05-07T05:41:46Z
dc.identifier.citation	del Barrio Castro, T., Cubadda, G. i Osborn, D.R. (2021). On cointegration for processes integrated at different frequencies. Journal of Time Series Analysis, 43, 412–435. https://doi.org/10.1111/jtsa.12620	ca
dc.identifier.uri	http://hdl.handle.net/11201/170153
dc.description.abstract	[eng] 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 test for the presence of cointegration between processes integrated at different frequencies is proposed, with a Monte Carlo study and an application showing that the testing approach works well.	en
dc.format	application/pdf	en
dc.format.extent	412–435
dc.publisher	Wiley
dc.relation.ispartof	Journal of Time Series Analysis, 2021, vol. 43, p. 412–435
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.uri	https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.classification	33 - Economia
dc.subject.other	33 - Economics. Economic science
dc.title	On cointegration for processes integrated at different frequencies	en
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/accceptedVersion
dc.type	Article
dc.date.updated	2025-05-07T05:41:47Z
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.identifier.doi	https://doi.org/10.1111/jtsa.12620