Arbeitspapier
Fractional integration and cointegration in US financial time series data
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 < 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 exist many (fractionally) cointegrated bivariate relationships among the variables examined.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 3416
- Klassifikation
-
Wirtschaft
Intergovernmental Relations; Federalism; Secession
Educational Finance; Financial Aid
Higher Education; Research Institutions
Education: Government Policy
- Thema
-
fractional integration
long-range dependence
fractional cointegration
financial data
Finanzmarkt
Zeitreihenanalyse
Kointegration
Effizienzmarktthese
Mean Reversion
Schätzung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Gil-Alana, Luis A.
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2011
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