Baruník, Jozef; Dvořáková, Sylvie - In: Economic Modelling 45 (2015) C, pp. 193-206
This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employed to...