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Fractional cointegration in US term spreads

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

Persistent link: https://www.econbiz.de/10003939723

Fractional cointegration in US term spreads

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003963290

Revisiting the long-run relationship between real exchange rates and real interest differentials : a productivity differential approach

Caporale, Guglielmo Maria; Pittis, Nikitas - In: Ekonomia : the journal of the Cyprus Economic Society 5 (2001) 2, pp. 155-177

Persistent link: https://www.econbiz.de/10002150483

Long-term nominal interest rates and domestic fundamentals

Caporale, Guglielmo Maria; Williams, Geoffrey - In: Review of financial economics : RFE 11 (2002) 2, pp. 119-130

Persistent link: https://www.econbiz.de/10001720462

Fractional cointegration in US term spreads

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied economics letters 19 (2012) 4/6, pp. 431-434

Persistent link: https://www.econbiz.de/10009630703

Long-term interest rates in Europe : a fractional cointegration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of economics & finance : IREF 61 (2019), pp. 170-178

Persistent link: https://www.econbiz.de/10012205401

Fractional Cointegration and Aggregate Money Demand Functions

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2006

negative income elasticity that is found is not theory-consistent). Consequently, it appears that money targeting might be the …

Persistent link: https://www.econbiz.de/10014060946

Fractional Cointegration in US Term Spreads

Caporale, Guglielmo Maria - 2010

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

Persistent link: https://www.econbiz.de/10013142866

Persistence, cointegration and aggregation : a disaggregated analysis of output fluctuations in the US economy

Pesaran, M. Hashem; Pierse, Richard G.; Lee, Kevin C. - 1990

Persistent link: https://www.econbiz.de/10000805454

Testing for unit roots in heterogeneous panels

Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol - 1995

Persistent link: https://www.econbiz.de/10000560436

A service of the