This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real …. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such … cointegration for forecasting purposes proves particularly useful since the start of the financial crisis …

investigate the long-run interdependencies, the Johansen-Juselius multivariate co-integration test and the bivariate Engle … there are evidences of cointegration among them. However, the potential benefits of international portfolio diversification …

monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …