Results 31 to 40 of about 5,076 (206)
Instrumental Variable Interpretation of Cointegration with Inference Results for Fractional Cointegration [PDF]
, 2002 In this paper we propose an alternative characterization of the central notion of cointegration, exploiting the relationship between the autocovariance and the cross-covariance functions of the series.
Aparicio, Felipe M. +2 more
core +3 more sources
Modeling Stock High-Low Price Range: Fractional Cointegrating VAR Approach (FCVAR) [PDF]
تحقیقات مالیObjectiveThis paper seeks to employ fractional cointegration methodology to model high and low stock prices, as well as the range series, indicating the difference between high and low stock prices.
Elham Farzanegan
doaj +1 more source
Mathematics, 2023 This paper analyzes the stochastic properties of consumer sentiment to understand how they affected the luxury sector in the United States before and after COVID-19.
Berta Marcos Ceron, Manuel Monge
doaj +1 more source
FRACTIONAL COINTEGRATION ANALYSIS OF STOCK MARKET AND EXCHANGE RATES: THE CASE OF TURKEY [PDF]
Financial Studies, 2016 The fluctuations and responses between the exchange rate and the stock market has been a topic of interest for both policy makers and market participants for a long time.
Deniz ERER, Elif ERER, Tuna Can GÜLEÇ
doaj
Fractional Cointegration And Aggregate Money Demand Functions [PDF]
, 2005 This paper examines aggregate money demand relationships in five industrial countries by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated.
Caporale, GM, Gil-Alana, LA
core +1 more source
Testing for the Equality of Integration Orders of Multiple Series
Econometrics, 2016 Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case.
Man Wang, Ngai Hang Chan
doaj +1 more source
Residual log-periodogram inference for long-run relationships [PDF]
, 2006 We assume that some consistent estimator of an equilibrium relation between non-stationary series integrated of order d(0.5,1.5) is used to compute residuals (or differences thereof).
Hassler, U. +2 more
core +2 more sources
US disposable personal income and housing price index: A fractional integration analysis [PDF]
, 2010 This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010.
Caporale, GM, Gil-Alana, LA
core +4 more sources
Cointegration in Fractional Systems with Unknown Integration Orders [PDF]
Econometrica, 2003 Cointegrated bivariate nonstationary time series are considered in a fractional context, without allowance for deterministic trends. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is nested, but these values have typically been assumed ...
Javier Hualde, Peter M. Robinson
openaire +7 more sources
Limit Laws in Transaction-Level Asset Price Models [PDF]
, 2013 We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in ...
Alexander Aue +11 more
core +1 more source