Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/46326
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dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorGil-Alana, Luis A.en_US
dc.date.accessioned2011-05-25en_US
dc.date.accessioned2011-06-29T11:15:33Z-
dc.date.available2011-06-29T11:15:33Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/46326-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper: Monetary Policy and International Finance |x3416en_US
dc.subject.jelH77en_US
dc.subject.jelI22en_US
dc.subject.jelI23en_US
dc.subject.jelI28en_US
dc.subject.ddc330en_US
dc.subject.keywordfractional integrationen_US
dc.subject.keywordlong-range dependenceen_US
dc.subject.keywordfractional cointegrationen_US
dc.subject.keywordfinancial dataen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwKointegrationen_US
dc.subject.stwEffizienzmarkttheseen_US
dc.subject.stwMean Reversionen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleFractional integration and cointegration in US financial time series dataen_US
dc.typeWorking Paperen_US
dc.identifier.ppn660178230en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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