EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
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) 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
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:una:unccee:wp1212

Access Statistics for this paper

More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra
Bibliographic data for series maintained by ().

 
Page updated 2024-12-03
Handle: RePEc:una:unccee:wp1212