EconPapers    
Economics at your fingertips  
 

Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue

Gilles de Truchis ()

Working Papers from HAL

Abstract: I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors to estimate jointly all parameters of interest of the model: the long run coefficient and the long memory parameters of the regressor and errors. I lead a Monte Carlo experiment which reveals the good finite sample properties of this estimator, even when the parameter space is extended to the non-stationary regions. An application to the stock market synchronization is proposed to illustrate the empirical relevance of this estimator.

Keywords: Fractional cointegration; Frequency domain; Full-band estimator; Monte-Carlo simulation; Parametric estimation (search for similar items in EconPapers)
Date: 2012-09
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00793220
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00793220/document (application/pdf)

Related works:
Journal Article: Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue (2013) Downloads
Working Paper: Approximate whittle analysis of fractional cointegration and the stock market synchronization issue (2013)
Working Paper: Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue (2013)
Working Paper: Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-00793220

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-10-11
Handle: RePEc:hal:wpaper:halshs-00793220