Fractional integration and cointegration in US financial time series data
نویسندگان
چکیده
منابع مشابه
Fractional Integration and Cointegration in US Financial Time Series Data
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 fr...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 2013
ISSN: 0377-7332,1435-8921
DOI: 10.1007/s00181-013-0780-8