Essays on fractional cointegration and seasonal long memory

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Voges, Michelle Laura: Essays on fractional cointegration and seasonal long memory. Hannover : Gottfried Wilhelm Leibniz Universität, Diss., 2019, IX, 123 S. DOI: https://doi.org/10.15488/5520

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This thesis contains five essays on fractional cointegration, seasonal fractional cointegration and seasonal long memory. After an introduction in the first Chapter, Chapter 2 reviews competing tests for fractional cointegration, since no standard approach emerged so far. It provides a synthesis of the literature and a detailed comparative Monte Carlo study to guide empirical researchers in their choice of appropriate methodologies. In Chapter 3, the previously reviewed methods are applied in the context of the European government bond market analyzing the degree of market integration.Chapter 4 deals with possible breaks in the persistence structure of a fractional cointegrating relationship. It introduces test procedures for no fractional cointegration that are robust for such a break. The following Chapters 5 and 6 consider another phenomenon in time series, namely seasonality, in particular seasonal long memory. Chapter 5 examines multivariate seasonal data and the concomitant possibility of seasonal fractional cointegration. Chapter 6 takes a different perspective and deals with univariate seasonal time series and proposes a test for seasonal long memory with a known frequency is proposed.
License of this version: Es gilt deutsches Urheberrecht. Das Dokument darf zum eigenen Gebrauch kostenfrei genutzt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.
Document Type: doctoralThesis
Publishing status: publishedVersion
Issue Date: 2019
Appears in Collections:Wirtschaftswissenschaftliche Fakultät
Dissertationen

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pos. country downloads
total perc.
1 image of flag of Germany Germany 116 67.44%
2 image of flag of United States United States 15 8.72%
3 image of flag of Italy Italy 6 3.49%
4 image of flag of France France 6 3.49%
5 image of flag of India India 4 2.33%
6 image of flag of China China 4 2.33%
7 image of flag of Malaysia Malaysia 3 1.74%
8 image of flag of United Kingdom United Kingdom 3 1.74%
9 image of flag of Iraq Iraq 2 1.16%
10 image of flag of Brazil Brazil 2 1.16%
    other countries 11 6.40%

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