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 … instead of prices. Like, conditional volatility-based estimation uncovers evidence of mean reversion in univariate analysis as …

foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one …. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a …