IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v11y2004i14p891-894.html
   My bibliography  Save this article

Some frequency domain properties of fractionally cointegrated processes

Author

Listed:
  • Claudio Morana

Abstract

The paper shows that the multiple squared coherence at the zero frequency for fractionally differenced (fractionally) cointegrated processes is equal to one, while the simple squared coherences assume a value greater than zero but lower than one. In the bivariate case the multiple and simple squared coherence coincide and, therefore, the simple squared coherence at the zero frequency assumes a unitary value. It is also found that processes that are not fractionally cointegrated show, in general, positive, but lower than one, multiple and simple squared coherences at the zero frequency. In the case the dependent and independent variables are driven by different long memory factors, i.e. in the case when the dependent variable is orthogonal at the zero frequency to any of the regressors, the squared multiple coherence will assume a zero value, as any of the squared simple coherences. It is finally shown that all the above results also hold for the series in levels, as the frequency tends to zero.

Suggested Citation

  • Claudio Morana, 2004. "Some frequency domain properties of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 891-894.
  • Handle: RePEc:taf:apeclt:v:11:y:2004:i:14:p:891-894
    DOI: 10.1080/1350485042000261289
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/1350485042000261289&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nuno Cassola & Claudio Morana, 2008. "Modeling Short-Term Interest Rate Spreads in the Euro Money Market," International Journal of Central Banking, International Journal of Central Banking, vol. 4(4), pages 1-37, December.
    2. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
    3. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    4. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:11:y:2004:i:14:p:891-894. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.