Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate … sample properties of this estimator are compared with various popular estimation methods of parameters \beta (LSE, ADL, DOLS … question of testing for fractional cointegration (that is, d < 1). The simulation results suggest that the one-step methodology …

empirical cointegration literature, taking into account fractional cointegration techniques appears as a promising way to study …

cointegrated. However, by using fractional cointegration techniques, this paper shows that France, Germany, Hong Kong, and Japan …

Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non …-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we … also shows that estimators originally designed for the stationary cointegration, have good finite sample properties in non …

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … to explore whether the volatility of the markets are linked in the short run. The cointegration results conclude in favor …

co-persistent nature of their integrated volatilities. Using recent fractional cointegration techniques, we find that …

I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator …

misleading and the cointegration theory applies all the same. This situation refers to unbalanced cointegration in the sense that … suggest a local Whittle estimator of bivariate unbalanced fractional cointegration systems. Focusing on a degenerating band … test for the no-arbitrage condition by means of cointegration techniques. Unfortunately, the persistent nature of the …

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 …

bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal …-spaced discretization of calendar time, in the case of weak fractional cointegration. For this same case, we obtain the asymptotic …