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 …

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 …

major stock markets. We then subjected this data to the Johansen co-integration test and the fully modified least …-squares (FMOLS) method. The results indicated that there was co-integration between the VIX and the COVID-19 pandemic and that there … was co-integration between the VIX index and major indexes, except for the CAC 40 and MIB. Moreover, the results showed …

This study examines the level of cointegration of ASEAN-5 stock markets and the developed stock market of the USA. It … also seeks to find out the effects of crises with a political nature on this cointegration. Five stock indices – SES, KLCI …

This study examines the level of cointegration of ASEAN-5 stock markets and the developed stock market of the USA. It … also seeks to find out the effects of crises with a political nature on this cointegration. Five stock indices -- SES, KLCI …

cointegration and error corrected Granger causality between the fund discounts and indices which proxy for UK and US investor … sentiment. Discusses the results, which support both theories for UK CEFs and show some evidence of cointegration and …