The functioning of electricity markets has experienced increasing complexity as a result of deregulation in recent years. Consequently this affects the multilateral price behaviour across regions with physical exchange of power. It has been documented elsewhere that features such as long memory...

In this paper we introduce a new common long memory factor model. The model allows to estimate the common persistent component in fractionally cointegrated processes. We find evidence of cobreaking and fractional cointegration in excess nominal money growth and inflation in the euro area, and...

In this paper we introduce a new common long memory factor model. The model allows to estimate the common persistent component in fractionally cointegrated processes. We find evidence of cobreaking and fractional cointegration in excess nominal money growth and inflation in the euro area, and...

This paper analyses comovement in housing prices across the euro area. We use techniques based on the concepts of fractional integration and cointegration. Our results indicate that all the individual log-real price indices series display orders of integration which are above one, implying long...

This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a...

Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate the long run coefficient (\beta) whereas the second step estimates the long memory parameter (d) of the cointegrating residuals. We suggest an adaptation of the maximum...

Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (δ1/2) and nonstationary (δ≥1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle...

This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employed to...

This study investigates the long-memory property and the fractionally cointegration between absolute changes in observed stock prices and implied stock prices from option pricing model. We find a stylized fact that absolute price movements in stock and option markets are characterized by long...

Modeling fractional cointegration relationships has become a major topic in applied time series analysis as it steps back from the traditional rigid I(1)/I(0) methodology. Hence, the number of proposed tests and approaches has grown over the last decade. The aim of this paper is to study the...