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Fractional integration and cointegration in US financial time series data

Guglielmo Maria Caporale and Luis Gil-Alana

Empirical Economics, 2014, vol. 47, issue 4, 1389-1410

Abstract: This paper examines several US monthly financial time series using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with $$d > 1$$ d > 1 , which implies mean reversion. The multivariate framework exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between financial series. We show that there might exist many (fractionally) cointegrated bivariate relationships among the variables examined, for some of which only standard cointegration tests had previously been carried out. Copyright The Author(s) 2014

Keywords: Fractional integration; Long-range dependence; Fractional cointegration; Financial data; C22; G10 (search for similar items in EconPapers)
Date: 2014
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Related works:
Working Paper: Fractional Integration and Cointegration in US Financial Time Series Data (2012) Downloads
Working Paper: Fractional Integration and Cointegration in US Financial Time Series Data (2011) Downloads
Working Paper: Fractional Integration and Cointegration in US Financial Time Series Data (2011) Downloads
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DOI: 10.1007/s00181-013-0780-8

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