Risk correlation identification of futures market based on wavelet transform and quantile Granger causality test. [PDF]
PLoS One, 2023 Wu ZQ.
europepmc +1 more source
Bivariate FIGARCH and Fractional Cointegration [PDF]
We consider the modelling of volatility on closely related markets. Univariate fractional volatility (FIGARCH) models are now standard, as are multivariate GARCH models. In this paper we adopt a combination of the two methodologies.
Celso Brunetti, Christopher L. Gilbert
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Drug Treatment Effect Model Based on MODWT and Hawkes Self-Exciting Point Process. [PDF]
Comput Math Methods Med, 2022 Nie X, Zhao X.
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Integer and fractional cointegration of exchange rates : the Portuguese case [PDF]
, 1999 The purchasing power parity (PPP) hypothesis is examined by means of residual-based cointegration tests. A generalized concept of cointegration is used. that is, fractional cointegration.
Gabriel, Vasco J., Martins, Luís
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Testing of Fractional Cointegration in Macroeconomic Time Series [PDF]
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing ...
Luis A. Gil-Alana
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The relationship between health expenditure, CO2 emissions, and economic growth in the BRICS countries-based on the Fourier ARDL model. [PDF]
Environ Sci Pollut Res Int, 2022 Li F, Chang T, Wang MC, Zhou J.
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Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach [PDF]
We propose to extend the cointegration rank determination procedure of Robinson and Yajima (2002) to accommodate both (asymptotically) stationary and nonstationary fractionally integrated processes as the common stochastic trends and cointegrating errors
Katsumi Shimotsu +1 more
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Estimation of the cointegrating rank in fractional cointegration
, 2012 This research is supported by the Spanish Ministerio de Ciencia e Innovación (ref. ECO2008-02641).
openaire +2 more sources
Natural resources volatility and causal associations for BRICS countries: Evidence from Covid-19 data. [PDF]
Resour Policy, 2023 Cao Y, Xiang S.
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Detecting long memory co-movements in macroeconomic time series [PDF]
Cointegration analysis tests for the existence of a significant long-run equilibrium among some economic variables. Standard econometric procedures to test for cointegration have proven unreliable when the long-run relation among the variables is ...
Gianluca Moretti
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