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Bivariate FIGARCH and Fractional Cointegration [PDF]
SSRN Electronic Journal, 2000 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. There is as yet little consensus on the methodology for testing for fractional cointegration.
Celso Brunetti, Christopher L. Gilbert
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A Conversation with Søren Johansen
Econometrics, 2022 This article was prepared for the Special Issue “Celebrated Econometricians: Katarina Juselius and Søren Johansen” of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen.
Rocco Mosconi, Paolo Paruolo
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Fundamental Responsiveness in European Electricity Prices
Energies, 2021 We estimate fundamental pricing relationships in selected European day-ahead electricity markets. Using a fractionally integrated panel data model with unobserved common effects, we quantify the responsiveness of hourly electricity prices to two ...
Michail I. Seitaridis +2 more
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Semiparametric estimation of fractional cointegrating subspaces [PDF]
The Annals of Statistics, 2006 Published at http://dx.doi.org/10.1214/009053606000000894 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Chen, Willa W., Hurvich, Clifford M.
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Fixed Bandwidth Inference for Fractional Cointegration [PDF]
Journal of Time Series Analysis, 2019 In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators offer improved limiting properties over those of more standard approaches like ordinary least squares or narrow band least squares ...
Hualde, Javier, Iacone, Fabrizio
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Robust Tests on Fractional Cointegration [PDF]
, 2001 Cointegration 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
Peters, Andrea, Sibbertsen, Philipp
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Mathematics, 2023 At the beginning of the COVID-19 pandemic, the entire world was waiting for a medical solution (for example, vaccines) in order to return to normality. Sanitary restrictions changed our consumption behaviors and feelings.
Jesús Tomás Monge Moreno, Manuel Monge
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Fractional integration and cointegration in US financial time series data [PDF]
, 2011 This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets ...
Caporale, Guglielmo Maria +1 more
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The role of Eonia in the dynamics of short-term interbank rates [PDF]
Panoeconomicus, 2020 To signal monetary policies and market expectations, we apply a fractionally cointegrated vector autoregressive (FCVAR) model, aiming to analyse the expectations hypothesis of term structure (EHTS), persistence in the Euro OverNight Index Average (Eonia)
Vides José Carlos +2 more
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Fractional cointegration and real exchange rates [PDF]
Review of Financial Economics, 2004 AbstractThis paper uses fractional integration and cointegration to model the DM–US dollar and the yen–US dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials.
Caporale, Guglielmo Maria +1 more
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