Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2009
estimator, Long memory, Fractional cointegration,
Fractional VECM, Stock Index Futures.
J.E.L. classification. C32, C13, G13 …
cointegration system outlined in Granger (1986), that is a generalization of the vector
ECM. The fractional VECM (FVECM hereafter … in the fractional VECM could improve the forecasts. We evaluate the ac-
curacy of our model in forecasting volatility and …