Search Results - subject:"fractional integration and cointegration"

Revisiting inflation in the euro area allowing for long memory

Hualde, Javier; Iacone, Fabrizio - In: Economics letters 156 (2017), pp. 145-150

Persistent link: https://www.econbiz.de/10011822391

Central bank policy rates : are they cointegrated?

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - In: International economics : a journal published by CEPII … 152 (2017), pp. 116-123

Persistent link: https://www.econbiz.de/10011802433

Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders

Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2009

: Cointegration rank, cointegration space, fractional integration and cointegration, interest rates, long memory, nonparametric, term … long-run relationships between time series. Recently, fractional integration and cointegration is attracting increasing …-run equilibria between variables) and empirical econometric analysis. To �x ideas, �rst the concepts of fractional integration and …

Persistent link: https://www.econbiz.de/10005079005

Nonparametric cointegration analysis of fractional systems with unknown integration orders

Nielsen, Morten Ørregaard - 2008

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...

Persistent link: https://www.econbiz.de/10010290391

Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders

Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2008

Persistent link: https://www.econbiz.de/10005079006

Comovements in volatility in the euro money market

Cassola, Nuno; Morana, Claudio - 2006

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series....

Persistent link: https://www.econbiz.de/10011604749

Comovements in volatility in the euro money market

Cassola, Nuno; Morana, Claudio - European Central Bank - 2006

Persistent link: https://www.econbiz.de/10005222291

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Haldrup; Niels; Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus - 2005

The functioning of electricity markets has experienced increasing complexity as a result of deregulation in recent years. Consequently this affects the multilateral price behaviour across regions with physical exchange of power. It has been documented elsewhere that features such aslong memory...

Persistent link: https://www.econbiz.de/10005114085

A Regime Switching Long Memory Model for Electricity Prices

Haldrup, Niels; Nielsen, Morten O. - School of Economics and Management, University of Aarhus - 2004

misleading inference with respect to the fractional integration and cointegration properties of the data. In particular, two …

Persistent link: https://www.econbiz.de/10005787517

Volatility of interest rates in the euro area: evidence from high frequency data

Cassola, Nuno; Morana, Claudio - 2003

This paper estimate the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using hourly...

Persistent link: https://www.econbiz.de/10011604281