Essays on fractional cointegration and seasonal long memory

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dc.identifier.uri Voges, Michelle ger 2019-10-15T06:32:13Z 2019-10-15T06:32:13Z 2019
dc.identifier.citation Voges, Michelle Laura: Essays on fractional cointegration and seasonal long memory. Hannover : Gottfried Wilhelm Leibniz Universität, Diss., 2019, IX, 123 S. DOI: ger
dc.description.abstract 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. ger
dc.language.iso eng ger
dc.publisher Hannover : Institutionelles Repositorium der Leibniz Universität Hannover
dc.rights Es gilt deutsches Urheberrecht. Das Dokument darf zum eigenen Gebrauch kostenfrei genutzt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. ger
dc.subject Fractional Cointegration eng
dc.subject Semiparametric estimation and testing eng
dc.subject Seasonal long memory eng
dc.subject Fraktionale Kointegration ger
dc.subject Semiparametrisch Schätzen und Testen ger
dc.subject Saisonales langes Gedächtnis ger
dc.subject.ddc 330 | Wirtschaft ger
dc.title Essays on fractional cointegration and seasonal long memory eng
dc.type doctoralThesis ger
dc.type Text ger
dc.description.version publishedVersion ger
tib.accessRights frei zug�nglich ger

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