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Title:Fractional integration and cointegration in US financial time series data PDF Logo
Authors:Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Issue Date:2011
Series/Report no.:CESifo working paper: Monetary Policy and International Finance 3416
Abstract: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 might be efficient) or alternatively I(d) with d < 1, which implies mean reversion. The multivariate framework exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between financial series. We show that there exist many (fractionally) cointegrated bivariate relationships among the variables examined.
Subjects:fractional integration
long-range dependence
fractional cointegration
financial data
JEL:H77
I22
I23
I28
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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