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Cyclical fractional cointegration

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  • Voges, Michelle
  • Sibbertsen, Philipp

Abstract

The concept of cyclical long memory is extended to a multivariate setting and definitions of cyclical fractional cointegration are provided. Furthermore, cyclical long-memory models that exhibit these characteristics are proposed and a cyclical multiple local Whittle estimator for the cyclical memory parameters and the cyclical cointegrating vector is derived. A series of Monte Carlo studies shows that the proposed method works well in finite samples. Finally, an application to financial high-frequency data underlines the usefulness of the method in practical applications where cyclical fractional cointegration between realized volatility and trading volume is found for a daily cycle.

Suggested Citation

  • Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    • Handle: RePEc:eee:ecosta:v:19:y:2021:i:c:p:114-129
    DOI: 10.1016/j.ecosta.2020.05.004
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    2. Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.

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    More about this item

    Keywords

    Multivariate time series; Seasonal/Cyclical long memory; Fractional cointegration (C32; C52; C58);
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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