Cyclical fractional cointegration

Michelle Voges and Philipp Sibbertsen

Econometrics and Statistics, 2021, vol. 19, issue C, 114-129

Abstract: The concept of cyclical long memory is extended to a multivariate setting and definitions of cyclical fractional cointegration are provided. Furthermore, cyclical long-memory models that exhibit these characteristics are proposed and a cyclical multiple local Whittle estimator for the cyclical memory parameters and the cyclical cointegrating vector is derived. A series of Monte Carlo studies shows that the proposed method works well in finite samples. Finally, an application to financial high-frequency data underlines the usefulness of the method in practical applications where cyclical fractional cointegration between realized volatility and trading volume is found for a daily cycle.

Keywords: Multivariate time series; Seasonal/Cyclical long memory; Fractional cointegration (C32; C52, C58) (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:19:y:2021:i:c:p:114-129

DOI: 10.1016/j.ecosta.2020.05.004

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