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 / Description
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 |
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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: | 22 May 2020 09:27 |
URI: | https://repository.londonmet.ac.uk/id/eprint/452 |
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