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Distribution-free tests of fractional cointegration [PDF]
Econometric Theory, 2008 We propose tests of the null of spurious relationship against the alternative of fractional cointegration among the components of a vector of fractionally integrated time series.
Hualde, Javier, Velasco, Carlos
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Gold and silver as safe havens: A fractional integration and cointegration analysis. [PDF]
PLoS ONE, 2023 This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 13 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 13 stock ...
Guglielmo Maria Caporale +1 more
doaj +2 more sources
Long-memory and the sea level-temperature relationship: a fractional cointegration approach. [PDF]
PLoS ONE, 2014 Through thermal expansion of oceans and melting of land-based ice, global warming is very likely contributing to the sea level rise observed during the 20th century.
Daniel Ventosa-Santaulària +2 more
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A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models
Austrian Journal of Statistics, 2022 Several authors have studied fractional cointegration in time series data, but little or no consideration has been extended to panel data settings. Therefore, in this paper, we compare the finite sample behaviour of existing fractional cointegration ...
Saidat Fehintola Olaniran +1 more
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Atmosphere, 2023 This paper deals with the analysis of the temperatures in a group of 36 African countries. By looking at the maximum, minimum and the range (the difference between the maximum and the minimum) and using a long memory model based on fractional integration
OlaOluwa S. Yaya +4 more
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Scientific African, 2023 One of the most effective ideas for comparing the values of two or more currencies is the purchasing power parity hypothesis (PPP). Most earlier works on PPP focused on using the standard cointegration approach by assuming a unit root for the observed ...
Saidat Fehintola Olaniran +1 more
doaj +1 more source
Quantitative Finance and Economics, 2023 Decisions of central banks on foreign exchange rates are based on the comovement of foreign exchange (FOREX) in mature markets such as US dollar rates to the British pound, euro, Chinese yuan, Japanese yen and Australian dollar.
Isaac O. Ajao +4 more
doaj +1 more source
Purchasing power parity: Evidence of long memory processes and fractional integration [PDF]
Decision Science Letters, 2015 The Purchasing Power Parity (PPP) theory, which serves as a key to the determination of several models of exchange rates, suggests a long-term relationship between exchange rates and relative prices.
Nadhem Selmi, Nejib Hachicha
doaj +1 more source
Integration and Disintegration of EMU Government Bond Markets
Econometrics, 2021 It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis.
Christian Leschinski +2 more
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Journal of Innovation and Entrepreneurship, 2021 This paper examines the relationship between the logarithms of carbon dioxide (CO2) emissions and real Gross Domestic Product (GDP) in China by applying fractional integration and cointegration methods.
Guglielmo Maria Caporale +2 more
doaj +1 more source