Fractional Integration and Cointegration in US Financial Time Series Data

Guglielmo Maria Caporale and Luis Gil-Alana

No 1116, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper examines several US monthly financial time series data 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

Keywords: Fractional integration; long-range dependence; fractional cointegration; financial data (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Pages: 41 p.
Date: 2011
New Economics Papers: this item is included in nep-ets
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https://www.diw.de/documents/publikationen/73/diw_01.c.371019.de/dp1116.pdf (application/pdf)

Related works:
Journal Article: Fractional integration and cointegration in US financial time series data (2014)
Working Paper: Fractional Integration and Cointegration in US Financial Time Series Data (2012)
Working Paper: Fractional Integration and Cointegration in US Financial Time Series Data (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1116

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