✦ LIBER ✦

Fractional integration and cointegration in US financial time series data

✍ Scribed by Caporale, Guglielmo Maria; Gil-Alana, Luis A.

Book ID: 121589003
Publisher: Springer-Verlag
Year: 2013
Tongue: English
Weight: 824 KB
Volume: 47
Category: Article
ISSN: 0377-7332
DOI: 10.1007/s00181-013-0780-8

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A simple non-linear model with fractiona

A simple non-linear model with fractional integration for financial time series data

✍ Luis A. Gil-Alana 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 598 KB

Testing of Fractional Cointegration in M

Testing of Fractional Cointegration in Macroeconomic Time Series

✍ Luis A. Gil-Alana 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 108 KB

Seasonal fractional integrated time seri

Seasonal fractional integrated time series models for rainfall data in Nigeria

✍ Yaya, Olaoluwa S.; Fashae, Olutoyin A. 📂 Article 📅 2014 🏛 Springer 🌐 English ⚖ 552 KB

Analysis of financial data series using

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

✍ J. Tenreiro Machado; Fernando B. Duarte; Gonçalo Monteiro Duarte 📂 Article 📅 2010 🏛 Springer Netherlands 🌐 English ⚖ 771 KB

Testing of nonstationary cycles in finan

Testing of nonstationary cycles in financial time series data

✍ F. J. DePenya; L. A. Gil-Alana 📂 Article 📅 2006 🏛 Springer US 🌐 English ⚖ 308 KB

THE PURCHASING POWER PARITY HYPOTHESIS I

THE PURCHASING POWER PARITY HYPOTHESIS IN THE US–CHINA RELATIONSHIP: FRACTIONAL INTEGRATION, TIME VARIATION AND DATA FREQUENCY

✍ Luis Alberiko Gil-Alana; Liang Jiang 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 559 KB

## ABSTRACT This article deals with the analysis of the purchasing power parity (PPP) hypothesis in China using fractional integration or __I__(__d__) techniques. Using real exchange rates data between the Chinese Yuan and the US dollar, the results indicate that the estimated integration order __d