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Search: subject:"Fractional Cointegration"
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fractional cointegration
7
Fractional cointegration
2
long memory
2
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1
Cointegration test
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East Asian stock markets
1
Fractional Cointegration
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financial integration
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frequency analysis
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integrated volatility
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local Whittle likelihood
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oil market
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unbalanced cointegration
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Truchis, Gilles De
7
Aloy, Marcel
4
Keddad, Benjamin
3
Boutahar, Mohamed
2
Gente, Karine
2
Peguin-Feissolle, Anne
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1
Dubois, Florent
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Horváth, Lajos
1
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RePEc
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1
On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates
Truchis, Gilles De
;
Keddad, Benjamin
-
HAL
-
2014
both
fractional
cointegration
and copula techniques. The former exploits the long memory behavior of the volatility …
Persistent link: https://www.econbiz.de/10010933834
Saved in:
2
Unbalanced
Fractional
Cointegration
and the No-Arbitrage Condition on Commodity Markets
Truchis, Gilles De
;
Dubois, Florent
-
HAL
-
2014
suggest a local Whittle estimator of bivariate unbalanced
fractional
cointegration
systems. Focusing on a degenerating band … paper, we introduce a new estimator of unbalanced
fractional
cointegration
systems that allows to test for the no …
Persistent link: https://www.econbiz.de/10010933894
Saved in:
3
Optimal Estimation Strategies for Bivariate
Fractional
Cointegration
Systems
Aloy, Marcel
;
Truchis, Gilles De
-
HAL
-
2013
Estimation methods of bivariate
fractional
cointegration
models are numerous. In most cases they have non …
Persistent link: https://www.econbiz.de/10010933833
Saved in:
4
Analyzing Financial Integration in East Asia through
Fractional
Cointegration
in Volatilities
Truchis, Gilles De
;
Keddad, Benjamin
-
HAL
-
2013
co-persistent nature of their integrated volatilities. Using recent
fractional
cointegration
techniques, we find that …
Persistent link: https://www.econbiz.de/10010933837
Saved in:
5
Estimation and Testing for
Fractional
Cointegration
Aloy, Marcel
;
Truchis, Gilles De
-
HAL
-
2012
question of testing for
fractional
cointegration
(that is, d < 1). The simulation results suggest that the one-step methodology …
Persistent link: https://www.econbiz.de/10011026224
Saved in:
6
Approximate Whittle Analysis of
Fractional
Cointegration
and the Stock Market Synchronization Issue
Truchis, Gilles De
-
HAL
-
2012
I consider a bivariate stationary
fractional
cointegration
system and I propose a quasi-maximum likelihood estimator …
Persistent link: https://www.econbiz.de/10010933851
Saved in:
7
South East Asian Monetary Integration: New Evidences from
Fractional
Cointegration
of Real Exchange Rates
Truchis, Gilles De
;
Keddad, Benjamin
-
HAL
-
2012
Generalized Purchasing Power Parity (G-PPP) from the new perspective of
fractional
cointegration
. The long-run co-movements of the … RERs are examined by applying a recent estimator of
fractional
cointegration
that consists of a frequency Whittle … approximation of the cointegrating system's likelihood function. The contribution of the
fractional
cointegration
study is justified …
Persistent link: https://www.econbiz.de/10010933925
Saved in:
8
Limit Laws in Transaction-Level Asset Price Models
Aue, Alexander
;
Horváth, Lajos
;
Hurvich, Clifford
; …
-
HAL
-
2011
-spaced discretization of calendar time, in the case of weak
fractional
cointegration
. For this same case, we obtain the asymptotic …
Persistent link: https://www.econbiz.de/10008923125
Saved in:
9
Long-run relationships between international stock prices: further evidence from
fractional
cointegration
tests
Aloy, Marcel
;
Boutahar, Mohamed
;
Gente, Karine
; …
-
HAL
-
2011
cointegrated. However, by using
fractional
cointegration
techniques, this paper shows that France, Germany, Hong Kong, and Japan …
Persistent link: https://www.econbiz.de/10008854445
Saved in:
10
Fractional integration and cointegration in stock prices and exchange rates
Aloy, Marcel
;
Boutahar, Mohamed
;
Gente, Karine
; …
-
HAL
-
2010
empirical cointegration literature, taking into account
fractional
cointegration
techniques appears as a promising way to study …
Persistent link: https://www.econbiz.de/10008793955
Saved in:
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