Detalle Publicación


Fractional integration and cointegration in US financial time series data

Autores: Gil Alaña, Luis Alberiko; Caporale, G. M.
Título de la revista: EMPIRICAL ECONOMICS
ISSN: 0377-7332
Volumen: 47
Páginas: 1389 - 1410
Fecha de publicación: 2014
This paper examines several US monthly financial time series using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d < 1, which implies mean reversion. The multivariate framework exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between financial series. We show that there might exist many (fractionally) cointegrated bivariate relationships among the variables examined, for some of which only standard cointegration tests had previously been carried out.