A simple non-linear model with fractional integration for financial time series data
This paper provides several examples of simple non-linear time series models with fractionally integrated disturbances. Both types of models (non-linear and fractional integration) have been widely used in recent years when modeling financial data. We use a testing procedure that permits us to test the order of integration in raw time series in the context of non-linear models. The tests are applied to several financial time series, the results showing that when the non-linear sign structure is taken into account, the order of integration of the series is much higher than one, finding thus conclusive evidence against mean reversion in their behavior.
Year of publication: |
2008
|
---|---|
Authors: | Gil-Alana, Luis A. |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 17.2008, 5, p. 838-848
|
Publisher: |
Elsevier |
Keywords: | Fractional integration Long memory Monte Carlo simulations Stock market |
Saved in:
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