Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - 2020
existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a … persistence structure we find evidence of fractional cointegration as well as a lower persistence before the crisis and a higher … persistence by less evidence for fractional cointegration during the crisis. A second break which indicates the end of the crisis …