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 setup provides valuable information on the degree...

Differences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financial assets because they are updated more rapidly in...