Time-series characteristics of UK commercial property returns: testing for multiple changes in persistence [PDF]
, 2013 The random-walk hypothesis, vis-à-vis asset prices , suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritised UK commercial property returns, we analyze this hypothesis, investigating multiple ...
Coleman, S, Leone, V
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The persistence of precious metals and oil during the COVID-19 pandemic: evidence from a fractional integration and cointegration approach. [PDF]
Environ Sci Pollut Res Int, 2022 Usman N, Akadiri SS.
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An autoregressive distributed lag approach for estimating the nexus between CO2 emissions and economic determinants in Pakistan. [PDF]
PLoS One, 2023 Daniyal M +6 more
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Does oil impact gold during COVID-19 and three other recent crises? [PDF]
Energy Econ, 2022 Tanin TI, Sarker A, Brooks R, Do HX.
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The effects of environmental tax on Ecological Footprint and Carbon dioxide emissions: a nonlinear cointegration analysis on Turkey. [PDF]
Environ Sci Pollut Res Int, 2022 Telatar OM, Birinci N.
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The Distance between Rival Nonstationary Fractional Processes [PDF]
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes.
Peter M Robinson
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Persistence in us interest rates: Is it stable over time? [PDF]
, 2008 This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 through March 2008.
Caporale, GM, Gil-Alana, LA
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Does income inequality increase the ecological footprint in the US: evidence from FARDL test? [PDF]
Environ Sci Pollut Res Int, 2023 Uzar U, Eyuboglu K.
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Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries [PDF]
This study tests for relative purchasing power parity for a sample of thirty less developed countries. The empirical analysis is based on testing for the fractional integration of real exchange rates.
Mark J. Holmes
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A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects [PDF]
We propose a new transaction-level bivariate log-price model, which yields fractional or standard cointegration. To the best of our knowledge, all existing models for cointegration require the choice of a fixed sampling frequency Delta t.
Hurvich, Cliiford, Wang, Yi
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