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Estimation and Testing for Fractional Cointegration
Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate the long run coefficient (\beta) whereas the... -
Approximate Whittle Analysis of Fractional Cointegration and the Stock Market...
I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint... -
South East Asian Monetary Integration: New Evidences from Fractional Cointegr...
We study the long-run relationship of real exchanges rates (RERs) among the ASEAN-5 countries by testing the theory of Generalized Purchasing Power Parity (G-PPP) from... -
Limit Laws in Transaction-Level Asset Price Models
This version accepted by Econometric Theory -
Analyzing Financial Integration in East Asia through Fractional Cointegration...
Two integrated financial markets are generally subjected to common shocks revealing that commonalities in fundamentals drive the underlying return processes. In such a... -
Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems
Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying... -
On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exch...
This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula...
