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Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue


  • Gilles De Truchis

    () (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales)


I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors to estimate jointly all parameters of interest of the model: the long run coefficient and the long memory parameters of the regressor and errors. I lead a Monte Carlo experiment which reveals the good finite sample properties of this estimator, even when the parameter space is extended to the non-stationary regions. An application to the stock market synchronization is proposed to illustrate the empirical relevance of this estimator.

Suggested Citation

  • Gilles De Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
  • Handle: RePEc:hal:wpaper:halshs-00793220
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    References listed on IDEAS

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    Cited by:

    1. de Truchis, Gilles & Keddad, Benjamin, 2013. "Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 394-412.
    2. Gilles De Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers halshs-00862256, HAL.
    3. Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.

    More about this item


    Fractional cointegration; Frequency domain; Full-band estimator; Monte-Carlo simulation; Parametric estimation;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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