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Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- Fractional integration ; long-range dependence ; fractional cointegration ; financial data …

Persistent link: https://www.econbiz.de/10009426696

Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models

Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410

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A factor analytical approach to the efficient futures market hypothesis

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Efficiency of guar seed futures market in India : an empirical study

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Long memory in the Ukrainian stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

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Does long-term disequilibrium in stock price predict future returns?

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Efficiency of Guar Seed futures market in India : an empirical study

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An empirical study of the interrelationships, integration and the efficiency of stock and foreign exchange markets in Fiji

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Testing for the efficient market hypothesis in stock prices : international evidence from nonlinear heterogeneous panels

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Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirical economics : a journal of the Institute for … 47 (2014) 4, pp. 1389-1410

Persistent link: https://www.econbiz.de/10010461103