IDEAS home Printed from https://ideas.repec.org/p/wuu/wpaper/hsc0404.html
   My bibliography  Save this paper

Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)

Author

Listed:
  • Ewa Broszkiewicz-Suwaj
  • Agnieszka Wylomanska

Abstract

In this paper we present a new approach to integration and cointegration. We show that a periodically correlated time series can be divided in a natural way into subseries that are integrated. Moreover, with high probability they are cointegrated. Therefore it is enough to show periodic correlation of the original series to conclude that the subseries are integrated. In the first part of the paper we present the main features of periodically correlated processes and a method of detecting periodic correlation. We illustrate it using a data set of spot electricity prices from the Nord Pool Power Exchange. In the next section we show that the subseries (one for each day of the week) exhibit integration as well as cointegration.

Suggested Citation

  • Ewa Broszkiewicz-Suwaj & Agnieszka Wylomanska, 2004. "Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)," HSC Research Reports HSC/04/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:wpaper:hsc0404
    as

    Download full text from publisher

    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_04_04.pdf
    File Function: Draft, 2004 (in Polish)
    Download Restriction: no

    References listed on IDEAS

    as
    1. Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004. "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 196-205.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Cointegration; Integration; PARMA model; Periodic correlation;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

    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:wuu:wpaper:hsc0404. 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: (Rafal Weron). General contact details of provider: http://edirc.repec.org/data/hspwrpl.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.