Multivariate Fractional Components Analysis
Econometrics
2019-01-30 v2
Abstract
We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of different strengths and is applicable in high-dimensional settings. In an application to realized covariance matrices, we find that orthogonal short- and long-memory components provide a reasonable fit and competitive out-of-sample performance compared to several competing methods.
Cite
@article{arxiv.1812.09149,
title = {Multivariate Fractional Components Analysis},
author = {Tobias Hartl and Roland Weigand},
journal= {arXiv preprint arXiv:1812.09149},
year = {2019}
}