Fractional Integration and Cointegration in US Financial Time Series Data

Luis Gil-Alana and Guglielmo Maria Caporale

No 12/12, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

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

Pages: 39 pages
Date: 2012-10-11
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http://www.unav.edu/documents/10174/6546776/1352908804_WP_UNAV_12_12.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 (2011)
Working Paper: Fractional Integration and Cointegration in US Financial Time Series Data (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp1212

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