memory feature of cointegration residual series, which can in turn exert bias on the resulting inferences. To overcome its … limitations, we employ a fractionally integrated VECM (FIVECM) in this paper to investigate the long-term cointegration relations …

long run relationships, applying three different cointegration tests. It covers the US, Canada, Australia, Japan, the …

This paper investigates the existence of cointegration and causality between the stock market price indices of Thailand … obtained from these two residual-based cointegration tests, potential long-run benefits exist from diversifying the investment …

are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links …