Relevant bibliographies by topics / Fractional cointegration analysis

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Fractional cointegration analysis'

Author: Grafiati
Published: 9 March 2023
Last updated: 10 March 2023

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Journal articles on the topic "Fractional cointegration analysis"

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Marinucci, D., and P. M. Robinson. "Semiparametric fractional cointegration analysis." Journal of Econometrics 105, no. 1 (2001): 225–47. http://dx.doi.org/10.1016/s0304-4076(01)00076-8.

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2

Olaniran, Saidat Fehintola, and Mohd Tahir Ismail. "A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models." Austrian Journal of Statistics 51, no. 4 (2022): 96–119. http://dx.doi.org/10.17713/ajs.v51i4.1170.

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Several authors have studied fractional cointegration in time series data, but little or no consideration has been extended to panel data settings. Therefore, in this paper, we compare the finite sample behaviour of existing fractional cointegration time-series test procedures in panel data settings. This comparison is performed to determine the best tests that can be adapted to fractional cointegration in panel data settings. Specifically, simulation studies and real-life data analysis were performed to study the changes in the empirical type I error rate and power of six semiparametric fract
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3

Beliu *, Sonila, and Matthew L. Higgins. "Fractional cointegration analysis of EU convergence." Applied Economics 36, no. 14 (2004): 1607–11. http://dx.doi.org/10.1080/0003684042000217931.

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4

Mohanty, Samarendu, E. Wesley F. Peterson, and Darnell B. Smith. "Fractional Cointegration and the False Rejection of the Law of One Price in International Commodity Markets." Journal of Agricultural and Applied Economics 30, no. 2 (1998): 267–76. http://dx.doi.org/10.1017/s1074070800008270.

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AbstractThis study examines the Law of One Price (LOP) in international commodity markets using fractional cointegration analysis. For proper evaluation of the LOP, fractional cointegration analysis seems to be appropriate because of its flexibility in capturing a wider range of mean reversion behavior than standard cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases, as compared to three cases using standard cointegration procedures. Overall, these results suggest that there is a long-run tendency for th
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5

Kolaiti, Theoplasti, Mwasi Mboya, and Philipp Sibbertsen. "Volatility Transmission across Financial Markets: A Semiparametric Analysis." Journal of Risk and Financial Management 13, no. 8 (2020): 160. http://dx.doi.org/10.3390/jrfm13080160.

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This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one market across trading zones. Also the other combinations of different markets in different trading zones are considered. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for
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Kasman, Saadet, Adnan Kasman, and Evrim Turgutlu. "Fisher Hypothesis Revisited: A Fractional Cointegration Analysis." Emerging Markets Finance and Trade 42, no. 6 (2006): 59–76. http://dx.doi.org/10.2753/ree1540-496x420604.

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7

Serrano, Camilo, and Martin Hoesli. "Fractional Cointegration Analysis of Securitized Real Estate." Journal of Real Estate Finance and Economics 44, no. 3 (2010): 319–38. http://dx.doi.org/10.1007/s11146-009-9231-x.

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8

Martin, Gael M. "BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL." Econometric Reviews 20, no. 2 (2001): 217–34. http://dx.doi.org/10.1081/etc-100103824.

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9

Cheung, Yin-Wong, and Kon S. Lai. "A Fractional Cointegration Analysis of Purchasing Power Parity." Journal of Business & Economic Statistics 11, no. 1 (1993): 103. http://dx.doi.org/10.2307/1391310.

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10

Cheung, Yin-Wong, and Kon S. Lai. "A Fractional Cointegration Analysis of Purchasing Power Parity." Journal of Business & Economic Statistics 11, no. 1 (1993): 103–12. http://dx.doi.org/10.1080/07350015.1993.10509936.

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Dissertations / Theses on the topic "Fractional cointegration analysis"

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da, Silva Afonso Goncalves. "Fractional cointegration analysis of nonlinear time series with long memory." Thesis, London School of Economics and Political Science (University of London), 2008. http://etheses.lse.ac.uk/2166/.

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This thesis develops theoretical tools for fractional cointegration analysis of nonlinear time series. These tools are employed to establish consistency of narrow band versions of Least Squares and Principal Components, in situations when the observables do not follow traditional linear process assumptions. Chapter 1 introduces the problem, and Chapter 2 reviews the tools and techniques used in the literature for analysing stationary fractional cointegration, emphasizing methods that will be the focus of subsequent chapters. Chapter 3 considers a bivariate factor model, where the unobservable
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FLORO, DANIELA. "Emerging issues in the european electricity market." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2010. http://hdl.handle.net/10281/14123.

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We assess the impact of the European reform in the electricity market focusing on the effects of the First (96/92/EC) and the Second Directive (2003/54/EC). The contribution of the thesis is threefold. Firstly, we study the progress towards a single integrated EU market examining wholesale electricity price convergence in the main EU power exchanges. The key idea is if the underlying national markets are integrated, then there is evidence of a real integrated market. Thus, over the long run wholesale electricity prices should follow the same pattern. To establish wholesale price convergence we
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3

Truchis, de Varennes Gilles de. "Cointégration fractionnaire et co-mouvements des marchés financiers internationaux." Thesis, Aix-Marseille, 2014. http://www.theses.fr/2014AIXM2011/document.

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L'objet de cette thèse est d'étudier les systèmes de cointégration fractionnaire de forme triangulaire mais également d'analyser l'apport de ces systèmes dans la modélisation des co-mouvements au sein des marchés financiers internationaux. La thèse s'articule autour de six chapitres équitablement répartis entre contributions économétriques et économiques. Concernant l'approche économétrique, un intérêt particulier est donné à l'estimation de ces systèmes en absence d'information sur les paramètres d'intérêts. Dans cette optique, plusieurs techniques d'estimation sont analysées et développées,
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4

Chou, Chih-Hsien, and 周志賢. "The Gold-Silver Parity and Spread Trading:A Fractional Cointegration Analysis." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/05153831369271638770.

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碩士<br>國立中興大學<br>經濟學系<br>84<br>This study employs fractional cointegration analysis method to investigate the appropriate form of gold-silver parity in both cashand futures markets. The identified parity relationships are then incorporated into the corresponding error correction models to forecast variations of gold-silver spread. Thereafter,spread tradingsimulations are conducted to examine the information value revealed by the parity relationships. It is found that the gold-silver parity contains a time-varying risk premium and is a slow adjustment-longmemory process as analyzed using a two-s
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"Fractional cointegration pairs trading strategy on Hang Seng Index components." 2011. http://library.cuhk.edu.hk/record=b5894529.

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Li, Ming Hin.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.<br>Includes bibliographical references (leaves 42-46).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Inference for Fractional Cointegration --- p.5<br>Chapter 2.1 --- Concept of Fractional Cointegration --- p.5<br>Chapter 2.1.1 --- Fractional Integration --- p.5<br>Chapter 2.1.2 --- Fractional Cointegration --- p.8<br>Chapter 2.2 --- Fractional Cointegration Modeling --- p.9<br>Chapter 2.2.1 --- Engle-Granger's Methodology --- p.9<br>Chapter 2.2.2 --- Johansen's Method
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Books on the topic "Fractional cointegration analysis"

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Robinson, P. M. Semiparametric frequency domain analysis of fractional cointegration. Suntory Centre, 1998.

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2

Masih, Abul M. M. Fractional cointegration, low frequency dynamics and long-run purchasing power parity: An analysis of the Australian dollar over its recent float (School ... and Business Economics working paper series). Edith Cowan University, 1998.

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Book chapters on the topic "Fractional cointegration analysis"

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Gil-Alana, Luis Alberiko, and Hector Carcel. "ASEAN Economic Community: Analysis Based on Fractional Integration and Cointegration." In Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning. WORLD SCIENTIFIC, 2020. http://dx.doi.org/10.1142/9789811202391_0023.

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Conference papers on the topic "Fractional cointegration analysis"

1

Houllier, M. A., and L. M. de Menezes. "A fractional cointegration analysis of European electricity spot prices." In 2012 9th International Conference on the European Energy Market (EEM 2012). IEEE, 2012. http://dx.doi.org/10.1109/eem.2012.6401933.

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