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Non parametric Fractional Cointegration Analysis [PDF]
, 2007 This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem. To this end, a couple of random matrices are constructed taking into account the stationarity properties of the differencesof a fractional p-variate integrated process. These difference orders are assumed to vary
Mauro Costantini, Roy Cerqueti
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Maximum Likelihood Estimation of Fractionally Cointegrated Systems
SSRN Electronic Journal, 2008In this paper we consider a fractionally cointegrated error correction model and investigate asymptotic properties of the maximum likelihood (ML) estimators of the matrix of the cointegration relations, the degree of fractional cointegration, the matrix of the speed of adjustment to the equilibrium parameters and the variance-covariance matrix of the ...
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Regime Switching Fractional Cointegration and Futures Hedging
SSRN Electronic Journal, 2010The article applies a Regime Switching Fractionally Integrated Error Correction Generalized Orthogonal GARCH model (RSFIEC-GO) for optimal futures hedging. RSFIEC-GO captures both the relationships of fractional cointegration and regime shifts between spot and futures returns.
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Tests on Fractional Cointegration Comparison of a Finite M— and ML—test on Fractional Cointegration
2003Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M— and ML—test are formulated for fractional cointegration in different situations. It turns out that the robust M—test reaches almost
A. Peters, P. Sibbertsen
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Fractional Chern insulators in magic-angle twisted bilayer graphene
Nature, 2021Yonglong Xie +2 more
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Signatures of fractional quantum anomalous Hall states in twisted MoTe2
Nature, 2023, Eric Anderson, Chong Wang
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Thermodynamic evidence of fractional Chern insulator in moiré MoTe2
Nature, 2023, Patrick Knüppel, Kenji Watanabe
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Observation of fractional edge excitations in nanographene spin chains
Nature, 2021Shantanu Mishra +2 more
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Trapped fractional charges at bulk defects in topological insulators
Nature, 2021Christopher W Peterson +2 more
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