, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Fractional … cointegration would imply that, although there exists a long-run relationship, the equilibrium errors exhibit slow reversion to zero …. It is found that the null hypothesis of no cointegration cannot be rejected for Japan. By contrast, there is some …

contrast, permits the use of traditional time-series methods for modeling and forecasting. Building on the theory of continuous …-time arbitrage-free price processes and the theory of quadratic variation, we develop formal links between realized volatility and …