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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- Fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009426696
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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10003934756
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Money demand in Europe : evidence from the past
Hahn, Elke; Müller, Christian - 2000
-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …
Persistent link: https://www.econbiz.de/10011432808
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International migration to Germany : estimation of a time-series model and inference in panel cointegration.
Brücker, Herbert; Siliverstovs, Boriss; Trübswetter, … - 2003
null of no cointegration can be decisively rejected by applying the panel cointegration test of Pedroni (1999). The …
Persistent link: https://www.econbiz.de/10011439458
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International market integration for natural gas? : a cointegration analysis of gas prices in Europe, North America and Japan
L'Hégaret, Guillaume; Siliverstovs, Boriss; Neumann, Anne - 2003
We examine the degree of natural gas market integration in Europe, North America and Japan, between the mid 1990's and 2002. The relationship between the international gas marker prices, and their relation to the oil price, are investigated through principal component analysis and Johansen...
Persistent link: https://www.econbiz.de/10011439628
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Local and spatial cointegration in the wage curve : a spatial panel analysis for German regions
Kosfeld, Reinhold; Dreger, Christian - 2015
this paper, we adopt a global cointegration approach recently proposed by Bienstock and Felsenstein (2010) to account for …
Persistent link: https://www.econbiz.de/10011411665
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The EMBI in Latin America : fractional integration, non-linearities and breaks
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...
Persistent link: https://www.econbiz.de/10011392136
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619595
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011334455
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The relationship between healthcare expenditure and disposable personal income in the US states : a fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015
period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …
Persistent link: https://www.econbiz.de/10011280006