Search Results - subject:"Fractional Cointegration"

The Cyclical and Trend Behavour of Australian Investment and Savings

Felmingham, Bruce; Cooray, Arusha - In: Journal of Business Cycle Measurement and Analysis 2007 (2007) 3, pp. 367-386

A spectral analysis of the Australian time series for the investment and savings ratios on quarterly data over the period from September 1959 to December 2005 reveals that the major cyclical components of the savings and investment ratios cohere strongly. This suggests there is a medium to long...

Persistent link: https://www.econbiz.de/10008492365

MONEY DEMAND: THEORIES AND ESTIMATION METHODS. A FRACTIONAL COINTEGRATION APPLICATION

Conte, Anna; Oldani, Chiara - In: Economia, Societa', e Istituzioni XVIII (2006) 3

approaches to the theme and addresses it using a different estimation technique from traditional papers (i.e. fractional … cointegration). Futures represent the widest and biggest innovation of financial markets; modern monetary economics should include …

Persistent link: https://www.econbiz.de/10005700786

Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses

Lee, Cheng-few; Shrestha, Keshab; Welch, Robert - In: Review of Quantitative Finance and Accounting 28 (2007) 2, pp. 163-185

relationship using a GARCH-M model and the concept of fractional cointegration. We use both the ex ante data implied by the …

Persistent link: https://www.econbiz.de/10005701302

Fractional Cointegration Analysis of Long Term International Interest Rates

Barkoulas, John; Baum, Christopher F.; Oguz, Gurkan S. - Department of Economics, Boston College - 1996

(fractional cointegration) in the system of the five long term interest rates. We use the GPH test as our testing methodology for …

Persistent link: https://www.econbiz.de/10005102706

Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates

Barkoulas, John; Baum, Christopher F. - Department of Economics, Boston College - 1996

We investigate the low frequency properties of three- and six- month rates for Eurocurrency deposits denominated in eight major currencies with specific emphasis on fractional dynamics. Using the fractional integration testing procedure suggested by Geweke and Porter-Hudak (1983), we find that...

Persistent link: https://www.econbiz.de/10005074053

Fisher Hypothesis Revisited: A Fractional Cointegration Analysis

Kasman, Saadet; Kasman, Adnan; Turgutlu, Evrim - In: Emerging Markets Finance and Trade 42 (2006) 6, pp. 59-76

inflation. Therefore, we use fractional cointegration analysis to test the long-run relationship between the two variables. The … the sample when the conventional cointegration test is employed. However, fractional cointegration between the two …

Persistent link: https://www.econbiz.de/10005543977

UK Unemployment Dynamics: a Fractionally Cointegrated Approach

Gil-Alana, Luis Alberiko - In: Economia Internazionale / International Economics 59 (2006) 1, pp. 33-50

of fractional cointegration techniques. In doing so, we allow for a much greater degree of flexibility in the dynamic …

Persistent link: https://www.econbiz.de/10004984431

Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory

Assaf, Ata - In: Review of Pacific Basin Financial Markets and Policies … 09 (2006) 03, pp. 441-462

, since a fractional cointegration is found in the residual series. …, despite the importance of this question for portfolio diversification strategies. In this article, we use fractional … cointegration and long memory techniques to search for co-dependence in the Canadian markets. The measures of long-term persistence …

Persistent link: https://www.econbiz.de/10005047225

ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION

Hualde, Javier; Robinson, A - Suntory and Toyota International Centres for Economics … - 2006

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, ß, between the …

Persistent link: https://www.econbiz.de/10005151136

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Haldrup, Niels; Nielsen, Morten - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3, pp. 1367-1367

fractional cointegration at some grid points when conditioning on the states. …

Persistent link: https://www.econbiz.de/10005246254