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Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
CESifo Working Paper No. 3416
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
fractional integration
long-range dependence
fractional cointegration
financial data
JEL: 
H77
I22
I23
I28
Dokumentart: 
Working Paper
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