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dc.creatorCaporale, G.M. (Guglielmo M.)-
dc.creatorGil-Alana, L.A. (Luis A.)-
dc.date.accessioned2017-03-27T12:57:07Z-
dc.date.available2017-03-27T12:57:07Z-
dc.date.issued2012-
dc.identifier.citationCaporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.). "Fractional Integration and Cointegration in US Financial Time Series Data". En . , 2012,es
dc.identifier.urihttps://hdl.handle.net/10171/43131-
dc.description.abstractThis paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d < 1, which implies mean reversion. The multivariate framework exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between financial series. We show that there might exist many (fractionally) cointegrated bivariate relationships among the variables examined, for some of which only standard cointegration tests had previously been carried out.es_ES
dc.language.isoenges_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.subjectMaterias Investigacion::Economía y Empresaes_ES
dc.titleFractional Integration and Cointegration in US Financial Time Series Dataes_ES
dc.typeArticuloes_ES

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