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Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities

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  • Gilles de Truchis
  • Benjamin Keddad

Abstract

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

Suggested Citation

  • Gilles de Truchis & Benjamin Keddad, 2014. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers 2014-382, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-382
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    References listed on IDEAS

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    More about this item

    Keywords

    Integrated volatility; Co-persistence; Fractional Cointegration; East Asian Stock Markets; Financial Integration;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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