Results 91 to 100 of about 5,076 (206)

Testing PPP for the South African Rand/US Dollar exchange rate at different frequencies [PDF]

, 2010
This paper tests the PPP hypothesis for the South African rand/ US dollar real exchange rate using a fractional integration framework. The results suggest that the real exchange rate of the South African rand with respect to the US dollar is a highly ...
Caporale, GM, Gil-Alana, LA
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FRACTIONAL COINTEGRATION RELATIONSHIPS BETWEEN THE POLISH, THE AUSTRIAN AND THE USA DIRECT PROPERTY MARKETS, SECURITIZED PROPERTY MARKETS AND STOCK MARKETS PRICE INDICES

Contemporary Economy, 2016
The main objective of this article is to present the results of the own research, which aim was to fulfill the literature gap in the scope of the existence of the domestic and the international fractional cointegration relationships between the domestic ...
Marcin Kołtuniak
doaj  

Transport infrastructure, economic growth, and transport CO₂ emissions nexus: Does green energy consumption in the transport sector matter? [PDF]

Environ Sci Pollut Res Int, 2023
Dai J, Alvarado R, Ali S, Ahmed Z, Meo MS.   +4 more
europepmc   +1 more source

Likelihood inference for a fractionally cointegrated vector autoregressive model [PDF]

We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model, based on the Gaussian likelihood conditional on initial values. We give conditions on the parameters such that the process X_{t} is fractional
Morten Ørregaard Nielsen, Søren Johansen   +1 more
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Pair traiding with fractional cointegration

, 2019
El objetivo principal de este trabajo es explorar el comportamiento de la estrategia de pair trading utilizando el método de cointegración fraccional propuesto por Johansen (2012), para seleccionar los pares de activos. A cada par se le aplica el método de cointegración fraccional y aquellos que demuestran que están cointegrados fraccionalmente pasan ...
openaire   +2 more sources

A multivariate causality analysis of CO₂ emission, electricity consumption, and economic growth: Evidence from Western and Central Africa. [PDF]

Heliyon, 2023
Gyamerah SA, Gil-Alana LA.
europepmc   +1 more source

Financial Integration for India Stock Market, a Fractional Cointegration Approach [PDF]

The Indian stock market is one of the earliest in Asia being in operation since 1875, but remained largely outside the global integration process until the late 1980s. A number of developing countries in concert with the International Finance Corporation
Aman Agarwal, Jun Du, Wing-Keung Wong
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Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration [PDF]

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one-half.
Morten Ørregaard Nielsen, Per Frederiksen   +1 more
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The relationship between prices and output in the UK and the US. [PDF]

SN Bus Econ, 2022
Caporale GM, Claudio-Quiroga G, Gil-Alana LA.   +2 more
europepmc   +1 more source

On the Robustness of Robustness Checks of the Environmental Kuznets Curve [PDF]

Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject to continuous and intense scrutiny.
Alessandro Lanza, Marzio Galeotti, Matteo Manera   +2 more
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