Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55314
Authors: 
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Year of Publication: 
2011
Series/Report no.: 
DIW Discussion Papers 1116
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: 
C22
G10
Document Type: 
Working Paper

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