Fractional integration and cointegration in US financial time series data
Year of publication: |
2014
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Authors: | Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 47.2014, 4, p. 1389-1410
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Subject: | Fractional integration | Long-range dependence | Fractional cointegration | Financial data | Schätzung | Estimation | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | USA | United States | Finanzmarkt | Financial market | Effizienzmarkthypothese | Efficient market hypothesis | Mean Reversion | Mean reversion |
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