Modeling fractional cointegration between high and low stock prices in Asian countries
Year of publication: |
2021
|
---|---|
Authors: | Afzal, Alia ; Sibbertsen, Philipp |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 60.2021, 2, p. 661-682
|
Subject: | FVECM | Fractional integration | Long-run relationship | Cointegration | Forecasts | HAR | ARFIMA | DM | Convergence | Kointegration | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Asien | Asia | ARMA-Modell | ARMA model |
-
Unveiling the linkages between emerging stock market indices and cryptocurrencies
Ahmed, Wajid Shakeel, (2022)
-
Essays on financial time series with a focus on high-frequency data
Becker, Janis, (2020)
-
Fractional integration and cointegration
Haulde, Javier, (2021)
- More ...
-
Long memory, spurious memory : persistence in range-based volatility of exchange rates
Afzal, Alia, (2023)
-
Impact of exchange rate uncertainty on exports : a case of Pakistan with US, UK and UAE
Bashir, Taqadus, (2012)
-
Impact of exchange rate uncertainty on exports : a case of Pakistan with US, UK and UAE
Bashir, Taqadus, (2012)
- More ...