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Fractional Integration and Cointegration in US Financial Time Series Data

  • Luis A. Gil-Alana

    ()

    (School of Economics and Business Administration, University of Navarra)

  • Guglielmo Maria Caporale

    ()

    (School of Social Sciences, Brunel University)

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random50169a3d22927/1352908804_WP_UNAV_12_12.pdf
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 12/12.

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Length: 39 pages
Date of creation: 14 Nov 2012
Date of revision:
Handle: RePEc:una:unccee:wp1212
Contact details of provider: Web page: http://www.unav.es/facultad/econom

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  1. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
  2. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
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  4. Durré, Alain & Giot, Pierre, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Series 0515, European Central Bank.
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  7. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
  8. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  9. D. Marinucci & Peter M. Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 303, London School of Economics and Political Science, LSE Library.
  10. DeJong, David N., 1992. "Co-integration and trend-stationarity in macroeconomic time series : Evidence from the likelihood function," Journal of Econometrics, Elsevier, vol. 52(3), pages 347-370, June.
  11. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
  12. Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
  13. D Marinucci & Peter M Robinson, 2001. "Semiparametric Fractional Cointegration Analysis," STICERD - Econometrics Paper Series /2001/420, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. Peter M. Robinson & Javier Hualde, 2003. "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics 2223, London School of Economics and Political Science, LSE Library.
  15. D Marinucci & Peter Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 2015, London School of Economics and Political Science, LSE Library.
  16. Shao, Xiaofeng & Wu, Wei Biao, 2007. "Local Whittle Estimation Of Fractional Integration For Nonlinear Processes," Econometric Theory, Cambridge University Press, vol. 23(05), pages 899-929, October.
  17. P. M. Robinson & J. Hualde, 2003. "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
  18. Josu Artech & Peter M Robinson, 1998. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)," STICERD - Econometrics Paper Series /1998/359, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  19. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
  20. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  21. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
  22. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
  23. Morten Ørregaard Nielsen & Per Frederiksen, 2010. "Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration," Working Papers 1226, Queen's University, Department of Economics.
  24. Peter M. Robinson & Carlos Velasco, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics 2273, London School of Economics and Political Science, LSE Library.
  25. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
  26. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  27. Javier Hualde & Peter M. Robinson, 2003. "Cointegration in fractional systems with unkown integration orders," LSE Research Online Documents on Economics 58050, London School of Economics and Political Science, LSE Library.
  28. Josu Arteche & Peter M. Robinson, 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
  29. Koop, Gary, 1991. "Cointegration tests in present value relationships : A Bayesian look at the bivariate properties of stock prices and dividends," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 105-139.
  30. Rangvid, Jesper, 2001. "Increasing convergence among European stock markets?: A recursive common stochastic trends analysis," Economics Letters, Elsevier, vol. 71(3), pages 383-389, June.
  31. D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series /2001/421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  32. Crowder, William J., 1996. "A note on cointegration and international capital market efficiency: A reply," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 661-664, August.
  33. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
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