Bjørn Aagaard

The fractional differencing operator is defined as an infinite binomial series expansion in powers of the backward-shift operator. Fractionally differences processes exhibit long-term persistence and antipersistence; the dependence between observations a long time span apart decays much more slowly with time span than is the case with the more commonly studied time series models.

This is just a quick test to see whether any danish OMXC20 stocks are cointegrated. Daily adjusted closed prices from yahoo are used.

For my first blog post I’ve decided to try out forecasting. Throughout my undergrad I came across forecasting many times.