Auflistung nach Schlagwort "Fractional cointegration"

Auflistung nach Schlagwort "Fractional cointegration"

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  • A comparison of semiparametric tests for fractional cointegration 
    Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp (Berlin, Heidelberg [u.a.] : Springer, 2020)
    There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a ...
  • Essays on fractional cointegration and spurious long memory 
    Afzal, Alia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2019)
    This thesis contains four essays on fractional cointegration and spurious long memory following the introduction and related literature in the first chapter. Chapter 2 provides an analysis of fractional integration and ...
  • Integration and disintegration of emu government bond markets 
    Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp (Basel : MDPI AG, 2021)
    It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between ...