Fractional integration and cointegration in US financial time series data
Guglielmo Maria Caporale; Luis A. Gil-Alana
| 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 | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | USA | United States | Schätzung | Estimation | Finanzmarkt | Financial market | Effizienzmarkthypothese | Efficient market hypothesis | Theorie | Theory | Mean Reversion | Mean reversion |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010461103