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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks

Maatoug, Abderazak Ben - 2019

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...

Persistent link: https://www.econbiz.de/10012900291

A One-Step Test for the Presence of Multiple Cointegrating Vectors

Asali, Muhammad - 2019

Based on the Johansen's approach for cointegration tests, we offer critical values to test for the existence and rank … of cointegration between first-order integrated variables. In this single-step procedure, the cointegrating rank is equal …

Persistent link: https://www.econbiz.de/10012905672

Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2019

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 …

Persistent link: https://www.econbiz.de/10012891049

An Empirical Analysis of the Long-Run Relationship Among Regional House Prices in Turkey

Catik, Abdurrahman Nazif - 2017

house prices dated after the implementation of mortgage law. Multivariate and bivariate Johansen cointegration tests are … cointegration tests based on two subsamples report a remarkable decline in the number of cointegrating vectors after the enactment …

Persistent link: https://www.econbiz.de/10012940784

Cointegrating Rank Selection in Models with Time-Varying Variance

Cheng, Xu - 2009

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...

Persistent link: https://www.econbiz.de/10012765272

Are Indian Exports and Imports Cointegrated?

Konya, Laszlo - 2008

logarithms of Indian exports and imports between 1949/50 and 2004/2005, using the unit-root, cointegration approach. To ascertain … been performed allowing for a one-time structural break in 1992/93. The results indicate no-cointegration between exports … and imports. The lack of cointegration means that Indian macroeconomic policies have been ineffective in bringing exports …

Persistent link: https://www.econbiz.de/10012768162

Price Convergence and Cointegration

García-Hiernaux, Alfredo - 2017

This paper provides a new, unified, and flexible framework to measure and characterize a convergence process. Specifically, we formally define the notion of price convergence and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework...

Persistent link: https://www.econbiz.de/10012975957

Econometric Regime Shifts and the US Subprime Bubble

Anundsen, André K. - 2016

Using aggregate quarterly data for the period 1975q1–2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been...

Persistent link: https://www.econbiz.de/10013007870

On the Persistence of Cointegration in Pairs Trading

Clegg, Matthew - 2014

An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a … 2002-2012, comprising over 860,000 pairs in total. The evidence does not support the hypothesis that cointegration is a …

Persistent link: https://www.econbiz.de/10013048017

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria - 2015

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

Persistent link: https://www.econbiz.de/10013019858