Search Results - subject:"fractional integration."

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter...

Persistent link: https://www.econbiz.de/10011939445

Testing the Fisher hypothesis in the G-7 countries using I(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …

Persistent link: https://www.econbiz.de/10011655328

Global and regional financial integration in emerging Asia: Evidence from stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2017

; it employs a fractional integration approach to investigate the issues of interest. The evidence suggests that in …

Persistent link: https://www.econbiz.de/10011655329

Central Bank Policy Rates: Are they Cointegrated?

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alana, … - 2017

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques … respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is …

Persistent link: https://www.econbiz.de/10011657110

Long Memory and Data Frequency in Financial Markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes …

Persistent link: https://www.econbiz.de/10011657117

Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2017

; it employs a fractional integration approach to investigate the issues of interest. The evidence suggests that in …

Persistent link: https://www.econbiz.de/10011657198

Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2017

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …

Persistent link: https://www.econbiz.de/10011657203

Is market fear persistent? A long-memory analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2017

/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the …

Persistent link: https://www.econbiz.de/10011674100

Is Market Fear Persistent? A Long-Memory Analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis; Plastun, Alex - 2017

/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the …

Persistent link: https://www.econbiz.de/10011698701

Long memory in Turkish Unemployment Rates

Gil-Alana, Luis A.; Ozdemir, Zeynel Abidin; Tansel, Aysit - 2017

In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most...

Persistent link: https://www.econbiz.de/10011729228

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