Results 171 to 180 of about 5,076 (206)

Spectral Analysis of Fractionally Cointegrated Systems

SSRN Electronic Journal, 2002
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A note on fractional cointegration

Applied Economics Letters, 1996
In this note I point to a typographical error in a recent paper by Baillie and Bollerslev (1994), and I provide a test - with simulated critical values - for fractional cointegration among seven daily currencies.
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Fractional Cointegration: A Bayesian Aproach

1995
The concept of fractional cointegration, whereby deviations from an equilibrium relationship are allowed to follow a fractionally integrated process, has attracted some attention in the literature of late. The long memory aspect of the fractional process is seen as an appropriate characterization of slow reversion to an equilibrium relationship.
Martin, Gael, Martin, Gael
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Fractional cointegration tests with GARCH

Applied Financial Economics, 1998
This paper examines the GARCH effects on the Geweke and Porter-Hudak (GPH) and modified rescaled range (MRR) tests for the analysis of the deviations from the cointegrating relationship among series. The Monte Carlo results show that the MRR test is very robust to the GARCH effects.
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Fractional Cointegration

Abstract This chapter, with four sections, illustrates the application of the results of Chapters 4–6 to linear regression. Section 1 deals with the case of a stationary regressor and Section 2 the case of cointegrating regression. It is shown how the distributions of the regression slope coefficient and also the intercept depend on the ...
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Semiparametric Estimation of Multivariate Fractional Cointegration

Journal of the American Statistical Association, 2003
We consider the semiparametric estimation of fractional cointegration in a multivariate process of cointegrating rank r > 0. We estimate the cointegrating relationships by the eigenvectors corresponding to the r smallest eigenvalues of an averaged periodogram matrix of tapered, differenced observations.
Chen, Willa W., Hurvich, Clifford M.
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First Stage Estimation of Fractional Cointegration

Journal of Time Series Econometrics, 2012
In a fractionally cointegrated model, we analyze, both theoretically and by means of a Monte Carlo experiment, the performance of the most popular first stage estimation methods, including ordinary and narrow band least squares (Robinson, 1994), difference taper narrow band least squares (Chen and Hurvich, 2003a), instrumental variables (Robinson and ...
J. Hualde, F. Iacone
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Semiparametric Frequency Domain Analysis of Fractional Cointegration

2003
Abstract Cointegration analysis has developed as a major theme of time series econometrics since the article of Engle and Granger (1987), much applied interest prompting considerable methodological and theoretical development during the past decade. Numerous empirical studies have investigated the possibility of cointegration in areas of
D Marinucci, Peter M. Robinson
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Fractional cointegration and the term structure

Empirical Economics, 2004
According to the expectations theory of the term structure of interest rates, the yield spread between long-term and short-term interest rates is an optimal predictor of future changes in short rates over the long-run. Results concerning the empirical validity of this hypothesis are not unanimous.
Sandrine Lardic, Val�rie Mignon
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Time varying fractional cointegration [PDF]

, 2012
According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. In this paper, we extend the fractional cointegration model in Johansen (2008) and propose a time-varying framework, in which the fractional cointegrating relationship varies over time ...
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