the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

This paper uses fractional integration and cointegration for the period of January 2000-June 2018 to investigate the … have significant permanent effects. Concerning bivariate results and testing for cointegration, evidence of cointegration … cointegration is found, though in general, in all cases, we observe that the degree of cointegration is very low, implying very long …

monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

fractional integration and cointegration methods. The univariate results indicate that the two series are highly persistent …, their orders of integration being around 2, whilst the cointegration tests (using both standard and fractional techniques …

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …