Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/46326 
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dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorGil-Alana, Luis A.en
dc.date.accessioned2011-05-25-
dc.date.accessioned2011-06-29T11:15:33Z-
dc.date.available2011-06-29T11:15:33Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3416en
dc.subject.jelH77en
dc.subject.jelI22en
dc.subject.jelI23en
dc.subject.jelI28en
dc.subject.ddc330en
dc.subject.keywordfractional integrationen
dc.subject.keywordlong-range dependenceen
dc.subject.keywordfractional cointegrationen
dc.subject.keywordfinancial dataen
dc.subject.stwFinanzmarkten
dc.subject.stwZeitreihenanalyseen
dc.subject.stwKointegrationen
dc.subject.stwEffizienzmarkttheseen
dc.subject.stwMean Reversionen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleFractional integration and cointegration in US financial time series data-
dc.typeWorking Paperen
dc.identifier.ppn660178230en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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