Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2011) Fractional Integration and Cointegration in US Financial Time Series Data. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (25). pp. 1-43.

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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 < 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.

Item Type: Article
Uncontrolled Keywords: Centre for EMEA Banking, Finance and Economics Working Paper Series, Fractional integration, long-range dependence, fractional cointegration, financial data, United States.
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: David Pester
Date Deposited: 21 Apr 2015 12:35
Last Modified: 21 Apr 2015 12:54
URI: http://repository.londonmet.ac.uk/id/eprint/452

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