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Academic literature on the topic 'Fractional cointegration analysis'

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Published: 9 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 (November 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 (August 26, 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 fractional cointegration tests in panel settings. The various results revealed the limitations of the tests in the nonstationary and low or high correlation of the residual errors conditions. Also, two of the test procedures were recommended for testing the null hypothesis of no fractional cointegration in both time series and panel data settings.
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Beliu *, Sonila, and Matthew L. Higgins. "Fractional cointegration analysis of EU convergence." Applied Economics 36, no. 14 (August 10, 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 (December 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 the LOP to hold for commodity prices.
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Kolaiti, Theoplasti, Mwasi Mboya, and Philipp Sibbertsen. "Volatility Transmission across Financial Markets: A Semiparametric Analysis." Journal of Risk and Financial Management 13, no. 8 (July 24, 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 a small minority of different cases. Investigating further we find that all volatility series show persistence breaks during the observation period which may be a reason for different findings in previous studies.
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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 (December 2006): 59–76. http://dx.doi.org/10.2753/ree1540-496x420604.

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Serrano, Camilo, and Martin Hoesli. "Fractional Cointegration Analysis of Securitized Real Estate." Journal of Real Estate Finance and Economics 44, no. 3 (January 7, 2010): 319–38. http://dx.doi.org/10.1007/s11146-009-9231-x.

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Martin, Gael M. "BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL." Econometric Reviews 20, no. 2 (April 30, 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 (January 1993): 103. http://dx.doi.org/10.2307/1391310.

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Cheung, Yin-Wong, and Kon S. Lai. "A Fractional Cointegration Analysis of Purchasing Power Parity." Journal of Business & Economic Statistics 11, no. 1 (January 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 common factor and idiosyncratic errors are stationary and serially uncorrelated, but have strong dependence in higher moments. Assuming the latent variables are driven by long memory stochastic volatility models, and that the underlying persistence is higher in the factor than in the errors, a fractional cointegrating relationship can be recovered by suitable transformation of the data. We consider a narrow band semiparametric estimate of the factor loadings, which is shown to be consistent with a rate of convergence. Chapter 4 contains two Monte Carlo experiments: the first illustrates the performance of the Narrow Band Least Squares estimate in the setting of the previous chapter, while the second attempts to fill the gap in theoretical distributional results for nonlinear processes, by analysing distributional properties of the more general Weighted Narrow Band Least Squares estimate, under linear and nonlinear settings. Chapter 5 extends the techniques of Chapter 3 to a general multivariate setting, with more than two observables and multiple common factors. A narrow band version of the Principal Components estimate is introduced and shown to converge to the space spanned by the factor loadings, allowing their consistent estimation under suitable linear restrictions. A Monte Carlo study of finite sample performance and an empirical application to European equity indices are also presented.
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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 apply a fractional cointegration analysis developed by Granger. We find evidence of perfect cointegration between the German and the Austrian wholesale electricity markets. Secondly, we analyse the impact of the reform at retail level focusing on the effect on industrial consumer welfare. Specifically, we study the price-cost margins in the EU15 countries over the period 1980-2006. Our analysis examines the long-run equilibrium of achieving a single internal electricity market allowing Member States to converge freely to the steady state as established by the harmonization principle of the EU reform. Differently from previous studies, we apply the pooled mean group estimator developed by Pesaran et al. (1999), which constraints the long run parameters to be same, representing therefore the EU mandated goal of market integration, and allows different rates of adjustment to the equilibrium, representing harmonization. Empirical evidence shows that wholesale market opening, privatization and regulation result in an increase of industrial consumer welfare. However, as the degree of vertical integration decreases, price-cost margins increase shrinking industrial-consumer welfare. In addition, the analysis of national rates of adjustment to long-run equilibrium shows that Italy and Germany are the countries with the highest and lowest profit persistence respectively. Finally, we focus on the Italian wholesale market, specifically the Italian day-ahead market, to establish the progress towards competition after wholesale market opening, linking theoretical predictions and empirical findings to identify its underlying oligopolistic structure and to examine potential improvements in consumer welfare after market liberalization. Accounting for the zone organization of the Italian wholesale market, we study the two main macrozones North and South in the summer and winter months of 2005 and 2006. In each market, we define the set of the strategic players and price-taker firms according to both generation capacity and production. We then define two oligopolistic models to describe the underlying oligopolistic structure. In particular, in the North market, we compare the Stackelberg and the Cournot model, whereas, in the South, the Stackelberg and the Dominant firm model. To determine the coefficients of the strategic player’s residual demand, we first estimate the competitive fringe supply. We evaluate the oligopolistic market outcome according to optimization techniques. Applying a variation of the traditional coefficient of determination we find that the North market has recorded a change in the oligopolistic structure from the Stackelberg model (2005) to the Cournot model (2006). However, as stated by microeconomic theory this change implies a loss of efficiency. Concerning the South market results show that during weekdays, in both years, the market follows a Stackelberg model. Instead, during weekends the market has recorded a change from the Dominant firm model to the Stackelberg model.
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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, essentiellement dans le domaine des fréquences car celui-ci permet un traitement semi-paramétrique des paramètres de nuisances. Les performances de ses estimateurs sont étudiés à travers des simulations mais également à travers l'étude des propriétés asymptotiques. Concernant l'approche économique, une première contribution exploite la cointégration fractionnaire pour révéler l'existence d'un système de taux de change entre certains pays Asiatiques. Une deuxième contribution porte sur l'analyse des interdépendances entre le marché du pétrole et divers taux de change au niveau de la volatilité. Une troisième contribution introduit un processus d'apprentissage adaptatif dans un modèle monétaire à plusieurs pays afin d'étudier sous quelles conditions un système de taux de change peut émerger
The aim of the thesis is to study a triangular form of fractional cointegration systems and to investigate whether these systems allow to model the comovements in international financial markets. The thesis is organized around six chapters. Three of them are theory-oriented and the three others are empirics-oriented. Concerning the econometric approach, a particular interest is devoted to the estimation of these systems when all parameters of interest are unknown. To this extent, several estimation techniques are investigated and introduced, essentially in frequency domain as it allows a semi-parametric treatment of the nuisance parameters. Most of times, the performance of these estimators are studied by means of simulations but the asymptotic theory is also developed. Concerning the economic approach, a first contribution applies the fractional cointegration theory to reveal the existence of an exchange rate system between several Asian countries. A second contribution deals with the risk interdependences between the crude oil market and several exchange rates. A third contribution considers an adaptive learning mechanism in a multi-country monetary model to investigate the conditions under which an exchange rate system is likely to emerge
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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
國立中興大學
經濟學系
84
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-stage procedure similar to Engle & Granger''s(1987). Since ADF tests are less powerful than GPHtests in detecting general mean-reverting relationships, the gold-silver parity could not be identified by more rigorous cointegrationanalysis. On the other hand, futures gold-silver spreads lead cash spreads in terms of information reflection. And the cash and futures spreads are cointegrated. The 5-step ahead forecast results of spreaderror correction models embodying the parity relationships outperformsthe nodels without the parity informations. But the opposite is true for 1-step ahead forecast. Considering the long memory property of the gold-silver parity, the forecast findings are justified. In addition, the efficiency of gold and silver marklet as a whole is questionable since abnormal profit could be made based on the simulation results of spread trading.
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5

"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.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.
Includes bibliographical references (leaves 42-46).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Inference for Fractional Cointegration --- p.5
Chapter 2.1 --- Concept of Fractional Cointegration --- p.5
Chapter 2.1.1 --- Fractional Integration --- p.5
Chapter 2.1.2 --- Fractional Cointegration --- p.8
Chapter 2.2 --- Fractional Cointegration Modeling --- p.9
Chapter 2.2.1 --- Engle-Granger's Methodology --- p.9
Chapter 2.2.2 --- Johansen's Methodology --- p.10
Chapter 2.2.2.1 --- Maximum Likelihood Estimators --- p.12
Chapter 2.2.2.2 --- Cofractional Rank Test --- p.16
Chapter 3 --- Pairs Trading Strategy --- p.19
Chapter 3.1 --- Statistical Arbitrage --- p.19
Chapter 3.2 --- Fractional Cointegration Pairs Trading --- p.20
Chapter 3.2.1 --- Trading Procedures --- p.22
Chapter 4 --- Empirical Study --- p.27
Chapter 4.1 --- Backgrounds --- p.27
Chapter 4.2 --- Settings --- p.28
Chapter 4.3 --- Empirical Results --- p.29
Chapter 5 --- Conclusions and Further Research --- p.39
Bibliography --- p.42
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Books on the topic "Fractional cointegration analysis"

1

Robinson, P. M. Semiparametric frequency domain analysis of fractional cointegration. London: 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"

1

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, 889–915. WORLD SCIENTIFIC, 2020. http://dx.doi.org/10.1142/9789811202391_0023.

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Conference papers on the topic "Fractional cointegration analysis"

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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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