the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best … VAR Models -- 13. Forecasting with VAR Models -- 14. Interpretation of VAR Models -- 15. Co-integration -- 16. The Kalman …

integration and co-integration technique. Particularly, fractional integration is applied to examine stochastic properties of … individual assets and fractional cointegration to analyse bivariate connectedness. Our findings unveil the absence of mean … expected. There is some evidence of cointegration on volatility grounds between cryptocurrencies and emerging stock market …