fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

fractional integration and fractional cointegration techniques. The empirical evidence suggests the presence of unit roots in … both the S&P 500 Index and the Euro Stoxx 50 Index, and also that cointegration only holds over the subsample ending in …

for France and Germany, and ending in all cases in 2022. The empirical results provide evidence of a high degree of …, while in those with lower debt, such as Germany and the US, it is stationary but bond yields are persistent (0.5<d<1). In …

within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a …

suggest evidence for inflation convergence for the majority of sectors within Europe, although disruptions have been …