Fractional integration and cointegration in stock prices and exchange rates
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Working Papers halshs-00536140, HAL.
References listed on IDEAS
- Claude Diebolt & Catherine Kyrtsou, 2005. "New Trends in Macroeconomics," Post-Print hal-00279607, HAL.
- James Davidson, 2005. "Testing for Fractional Cointegration: The Relationship between Government Popularity and Economic Performance in the UK," Springer Books, in: Claude Diebolt & Catherine Kyrtsou (ed.), New Trends in Macroeconomics, pages 147-171, Springer.
- Baillie, Richard T & Bollerslev, Tim, 1994.
"Cointegration, Fractional Cointegration, and Exchange Rate Dynamics,"
Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
- Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
- Ingolf Dittmann, 2001.
"Fractional cointegration of voting and non-voting shares,"
Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 321-332.
- Dittmann, Ingolf, 1998. "Fractional cointegration of voting and non-voting shares," Technical Reports 1998,40, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- J. Cunado & L. A. Gil-Alana & F. Perez de Gracia, 2007. "Testing for stock market bubbles using nonlinear models and fractional integration," Applied Financial Economics, Taylor & Francis Journals, vol. 17(16), pages 1313-1321.
- Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007.
"Nonlinearities and Fractional Integration in the US Unemployment Rate,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Public Policy Discussion Papers 04-17, Economics and Finance Section, School of Social Sciences, Brunel University.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Non-linearities and fractional integration in the US unemployment rate," HWWA Discussion Papers 259, Hamburg Institute of International Economics (HWWA).
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Economics and Finance Discussion Papers 04-17, Economics and Finance Section, School of Social Sciences, Brunel University.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Non-Linearities and Fractional Integration in the US Unemployment Rate," Discussion Paper Series 26232, Hamburg Institute of International Economics.
- Luis A. Gil-Alana & Guglielmo M. Caporale, 2006. "Nonlinearities and fractional integration in the US unemployment rate," Faculty Working Papers 18/06, School of Economics and Business Administration, University of Navarra.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Economics and Finance Discussion Papers 05-17, Economics and Finance Section, School of Social Sciences, Brunel University.
- Hassler, U. & Marmol, F. & Velasco, C., 2006.
"Residual log-periodogram inference for long-run relationships,"
Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18289, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- R. Smyth & M. Nandha, 2003. "Bivariate causality between exchange rates and stock prices in South Asia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 699-704.
- Nieh, Chien-Chung & Lee, Cheng-Few, 2001. "Dynamic relationship between stock prices and exchange rates for G-7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 477-490.
- D Marinucci & Peter M Robinson, 2001. "Semiparametric Fractional Cointegration Analysis," STICERD - Econometrics Paper Series 420, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gregory, Allan W. & Hansen, Bruce E., 1996.
"Residual-based tests for cointegration in models with regime shifts,"
Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
- Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
- Allan Gregory & Bruce E. Hansen, 1992. "Residual-based Tests For Cointegration In Models With Regime Shifts," Working Paper 862, Economics Department, Queen's University.
- Tom Doan, "undated". "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate results from Gregory and Hansen(1996) JOE article," Statistical Software Components RTZ00081, Boston College Department of Economics.
- Angelos Kanas, "undated". "Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests," Working Papers 9804, University of Crete, Department of Economics.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Bierens, Herman J., 1997.
"Nonparametric cointegration analysis,"
Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
- Bierens, H.J., 1995. "Nonparametric cointegration analysis," Discussion Paper 1995-123, Tilburg University, Center for Economic Research.
- Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006.
"Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting,"
Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July.
- Bent Jesper Christensen & Morten Ø. Nielsen, "undated". "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
- Angelos Kanas, 1998.
"Linkages between the US and European equity markets: further evidence from cointegration tests,"
Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 607-614.
- Angelos Kanas, "undated". "Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests," Working Papers 9804, University of Crete, Department of Economics.
- Ying Wu, 2000. "Stock prices and exchange rates in VEC model—The case of Singapore in the 1990s," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(3), pages 260-274, September.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Glenn Otto & Graham Voss & Luke Willard, 2001. "Understanding OECD Output Correlations," RBA Research Discussion Papers rdp2001-05, Reserve Bank of Australia.
- Huang, Bwo-Nung & Yang, Chin-Wei & Hu, John Wei-Shan, 2000. "Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 281-297.
- Chamberlain, Sandra & Howe, John S. & Popper, Helen, 1997.
"The exchange rate exposure of U.S. and Japanese banking institutions,"
Journal of Banking & Finance, Elsevier, vol. 21(6), pages 871-892, June.
- Sandra Chamberlain & John S. Howe & Helen Popper, 1995. "The exchange rate exposure of U.S. and Japanese banking institutions," Pacific Basin Working Paper Series 95-11, Federal Reserve Bank of San Francisco.
- Sandra L. Chamberlain & John S. Howe & Helen Popper, 1996. "The Exchange Rate Exposure of U.S. and Japanese Banking Institutions," Center for Financial Institutions Working Papers 96-55, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Luis Gil-Alana & Antonio Moreno, 2012.
"Fractional integration and structural breaks in U.S. macro dynamics,"
Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
- Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra.
- Luis A. Gil‐Alana, 2008.
"Fractional integration and structural breaks at unknown periods of time,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 163-185, January.
- Luis A. Gil-Alana, 2006. "Fractional integration and structural breaks at unknown periods of time," Faculty Working Papers 16/06, School of Economics and Business Administration, University of Navarra.
- Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
- Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
- Nielsen, Morten Orregaard, 2007. "Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 427-446, October.
- Binswanger, Mathias, 2000. "Stock market booms and real economic activity: Is this time different?," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 387-415, October.
- Claude Diebolt & Catherine Kyrtsou (ed.), 2005. "New Trends in Macroeconomics," Springer Books, Springer, number 978-3-540-28556-4, October.
- Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(1), pages 91-115, March.
- Marinucci, D & Robinson, Peter M., 2001. "Semiparametric fractional cointegration analysis," LSE Research Online Documents on Economics 2269, London School of Economics and Political Science, LSE Library.
- Gregory, Allan W & Hansen, Bruce E, 1996.
"Tests for Cointegration in Models with Regime and Trend Shifts,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
- Tom Doan, "undated". "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
- Richard A. Ajayi & Mbodja Mougouė, 1996. "On The Dynamic Relation Between Stock Prices And Exchange Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 193-207, June.
- Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
- Pan, Ming-Shiun & Fok, Robert Chi-Wing & Liu, Y. Angela, 2007. "Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 503-520.
- Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series 1989, CESifo.
- L. A. Gil‐Alana & M. Nazarski, 2007. "Strong dependence in the nominal exchange rates of the Polish zloty," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(2), pages 97-116, March.
- Carlos Velasco, 2003. "Gaussian Semi‐parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- West, Kenneth D., 2012.
"Econometric analysis of present value models when the discount factor is near one,"
Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
- Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne P駵in-Feissolle, 2013.
"Long-run relationships between international stock prices: further evidence from fractional cointegration tests,"
Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Working Papers halshs-00567472, HAL.
- Marcel Aloy & Boutahar Mohamed & Karine Gente & Anne Peguin-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Post-Print hal-00743767, HAL.
- Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007.
"Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
- Morten Ø. Nielsen & Katsumi Shimotsu, 2006. "Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach," Working Paper 1029, Economics Department, Queen's University.
- Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011.
"Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?,"
Economic Modelling, Elsevier, vol. 28(3), pages 1279-1290, May.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
- Andrew Phiri, 2020.
"Structural changes in exchange rate-stock returns dynamics in South Africa: examining the role of crisis and new trading platform,"
Economic Change and Restructuring, Springer, vol. 53(1), pages 171-193, February.
- Phiri, Andrew, 2018. "Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform," MPRA Paper 85826, University Library of Munich, Germany.
- Andrew Phiri, 2018. "Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform," Working Papers 1816, Department of Economics, Nelson Mandela University, revised Apr 2018.
- EVRIM MANDACI, Pinar & CAGLI, Efe Caglar, 2016. "Who Drives Whom? Investigating The Relationship Between The Major Stock Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(2), pages 6-24.
- Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
- Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
- Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers 2016-08, University of Connecticut, Department of Economics.
- Abdullah M. Noman & Sarkar Humayun Kabir & Omar K.M.R. Bashar, 2012. "Causality between stock and foreign exchange markets in Bangladesh," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(3), pages 174-186, July.
- Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
- Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2016. "Stock markets and effective exchange rates in European countries: threshold cointegration findings," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 215-274, August.
- Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021.
"Economic policy uncertainty: Persistence and cross-country linkages,"
Research in International Business and Finance, Elsevier, vol. 58(C).
- Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
- Stefanos Kechagias & Vladas Pipiras, 2015. "Definitions And Representations Of Multivariate Long-Range Dependent Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 1-25, January.
- Christos Kollias & Nikolaos Mylonidis & Suzanna-Maria Paleologou, 2012. "The nexus between exchange rates and stock markets: evidence from the euro-dollar rate and composite European stock indices using rolling analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 136-147, January.
- Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
- Paulo Ferreira & Marcus Fernandes da Silva & Idaraí Santos de Santana, 2019. "Detrended Correlation Coefficients Between Exchange Rate (in Dollars) and Stock Markets in the World’s Largest Economies," Economies, MDPI, vol. 7(1), pages 1-11, February.
- Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
- Luis A. Gil‐Alana, 2003.
"Testing of Fractional Cointegration in Macroeconomic Time Series,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
- Gil-Alaña, Luis A., 2000. "Testing of fractional cointegration in macroeconomic time series," SFB 373 Discussion Papers 2000,105, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
More about this item
Keywords
fractional cointegration; long memory; stock prices; exchange rates;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- F3 - International Economics - - International Finance
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-09-00644. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.