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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2015-01-12T13:08:04Z | - |
dc.date.available | 2014 | - |
dc.date.available | 2015-01-12T13:08:04Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Empirical Economics, 47(4): 1389-1410, (December 2014) | en_US |
dc.identifier.issn | 0377-7332 | - |
dc.identifier.uri | http://link.springer.com/article/10.1007/s00181-013-0780-8 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/9696 | - |
dc.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. | en_US |
dc.description.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. | en_US |
dc.description.sponsorship | Luis A. Gil-Alana gratefully acknowledges financial support from the Ministerio de Ciencia y Tecnologia (ECO2012-2014, No. 28196 ECON Y FINANZAS, Spain) and from a Jeronimo de Ayanz project of the Government of Navarra. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Springer Berlin Heidelberg | en_US |
dc.subject | Fractional integration | en_US |
dc.subject | Long-range dependence | en_US |
dc.subject | Fractional cointegration | en_US |
dc.subject | Financial data | en_US |
dc.subject | C22 | en_US |
dc.subject | G10 | en_US |
dc.title | Fractional integration and cointegration in US financial time series data | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/s00181-013-0780-8 | - |
dc.relation.isPartOf | Empirical Economics | - |
dc.relation.isPartOf | Empirical Economics | - |
dc.relation.isPartOf | Empirical Economics | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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Fulltext.doc | 3.15 MB | Microsoft Word | View/Open |
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