Fractional integration and structural breaks in bank share prices in Nigeria
نویسندگان
چکیده
منابع مشابه
Deterministic versus stochastic seasonal fractional integration and structural breaks
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the s...
متن کاملFractional integration and structural breaks at unknown periods of time
This paper deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub-samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on linear regression models using a grid of values for the fractional differencing parameters and least...
متن کاملFractional Integration and Mean Reversion in Stock Prices
The Efficient Market Hypothesis (EMH) is frequently tested by measuring the degree of mean reversion in stock prices, since highly predictable changes might indicate that investors are not fully rational. Existing studies often rely on statistical tests which impose too restrictive assumptions on the time series behaviour of the series of interest, and have very low power. This paper uses a tes...
متن کاملModelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo experiments that the procedure performs well in a non-linear environment. Second, we apply it to test for ...
متن کاملTesting for Fractional integration versus short memory with trends and structural breaks
Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the nonstationarity. As is well-known, integrated processes and short memory models with trending components, possibly affected by structural breaks, imply similar features in the data and, accordingly, are hard to distinguish. The goal of this paper is to extend...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Development Finance
سال: 2015
ISSN: 1879-9337
DOI: 10.1016/j.rdf.2014.07.004