Search Results - subject:"fractional integration."

Point forecasts of the price of crude oil : an attempt to "beat" the end-of-month random-walk benchmark

Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 67 (2024) 4, pp. 1497-1539

Persistent link: https://www.econbiz.de/10015141979

Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - In: Computational economics 64 (2024) 6, pp. 3543-3553

Persistent link: https://www.econbiz.de/10015144252

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-13

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional … integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general …

Persistent link: https://www.econbiz.de/10015272692

Testing for persistence in German green and brown stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Solarin … - 2024

This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional … integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf …

Persistent link: https://www.econbiz.de/10014578571

Oil market efficiency, quantity of information, and oil market turbulence

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...

Persistent link: https://www.econbiz.de/10014490913

"My name is Bond. Green Bond." : informational efficiency of climate finance markets

Gronwald, Marc; Wadud, Sania - 2024

This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed asset price behavior from the Random Walk benchmark, which represents an efficient market. The...

Persistent link: https://www.econbiz.de/10014505807

Polar amplification : a fractional integration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2024

This paper uses fractional integration methods to obtain new evidence on polar amplification. The adopted modelling …

Persistent link: https://www.econbiz.de/10014517979

Monetary policy and inflation rate in the behavior of consumer sentiment in the us : a fractional integration and cointegration analysis

Monge González, Manuel; Lazcano, Ana; Infante, Juan - In: Research in economics 78 (2024) 3, pp. 1-6

Persistent link: https://www.econbiz.de/10015084553

Persistent and long-term co-movements between gender equality and global prices

Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A. - In: Economies : open access journal 12 (2024) 7, pp. 1-15

the years 2014-2021. The methodology involves fractional integration to assess the consistency and integration levels of …

Persistent link: https://www.econbiz.de/10014636175

Exponential time trends in a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Econometrics : open access journal 12 (2024) 2, pp. 1-14

fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general …

Persistent link: https://www.econbiz.de/10014636409