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Title: Fractional integration and cointegration in US financial time series data
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Fractional integration;Long-range dependence;Fractional cointegration;Financial data;C22;G10
Issue Date: 2014
Publisher: Springer Berlin Heidelberg
Citation: Empirical Economics, 47(4): 1389-1410, (December 2014)
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, for some of which only standard cointegration tests had previously been carried out.
Description: Open Access This article is distributed under the terms of the Creative Commons Attribution License which permits any use, distribution, and reproduction in any medium, provided the original author(s) and the source are credited.
ISSN: 0377-7332
Appears in Collections:Dept of Economics and Finance Research Papers

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