Caporale, Guglielmo; Gil-Alana, Luis - In: Empirical Economics 47 (2014) 4, pp. 1389-1410
This paper examines several US monthly financial time series using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$d...</equationsource></inlineequation>