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Likelihood inference for a fractionally cointegrated vector autoregressive model

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Cited by:

  1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
  2. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
  3. Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022. "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, vol. 169(C), pages 1-12.
  4. Yao, Xingzhi & Izzeldin, Marwan & Li, Zhenxiong, 2019. "Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model," Economics Letters, Elsevier, vol. 181(C), pages 160-163.
  5. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach," Journal of Innovation and Entrepreneurship, Springer, vol. 10(1), pages 1-16, December.
  6. OlaOluwa S. Yaya & Xuan Vinh Vo & Ahamuefula E. Ogbonna & Adeolu O. Adewuyi, 2022. "Modelling cryptocurrency high–low prices using fractional cointegrating VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 489-505, January.
  7. Apergis, Nicholas & Carmona-González, Nieves & Gil-Alana, Luis Alberiko, 2020. "Persistence in silver prices and the influence of solar energy," Resources Policy, Elsevier, vol. 69(C).
  8. Samet Gunay, 2018. "Fractionally Cointegrated Vector Autoregression Model: Evaluation of High/Low and Close/Open Spreads for Precious Metals," SAGE Open, , vol. 8(4), pages 21582440188, November.
  9. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
  10. Søren Johansen & Morten Ørregaard Nielsen, 2018. "Testing the CVAR in the Fractional CVAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 836-849, November.
  11. Senra Hodelin, Reynaldo, 2022. "Public banking and economic growth: The experiences of 10 countries since the 1950s until 2017," Economic Systems, Elsevier, vol. 46(1).
  12. Leandro Maciel, 2020. "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, vol. 58(4), pages 1513-1540, April.
  13. Nikolaos Stoupos & Apostolos Kiohos, 2022. "Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 60(4), pages 1019-1046, July.
  14. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza, 2022. "Inflation in the G7 countries: persistence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 493-506, July.
  15. Pérez-Rodríguez, Jorge V. & Andrada-Félix, Julián & Rachinger, Heiko, 2021. "Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  16. Federico Carlini & Katarzyna (K.A.) Lasak, 2018. "Likelihood based inference for an Identifiable Fractional Vector Error Correction Model," Tinbergen Institute Discussion Papers 18-085/III, Tinbergen Institute.
  17. Hongchang Hu & Weifu Hu & Xinxin Yu, 2021. "Pseudo-maximum likelihood estimators in linear regression models with fractional time series," Statistical Papers, Springer, vol. 62(2), pages 639-659, April.
  18. Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
  19. Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah & Nieves Carmona-González & Aviral Kumar Tiwari, 2024. "Consumer sentiments across G7 and BRICS economies: Are they related?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 323-344, June.
  20. Cheah, Eng-Tuck & Mishra, Tapas & Parhi, Mamata & Zhang, Zhuang, 2018. "Long Memory Interdependency and Inefficiency in Bitcoin Markets," Economics Letters, Elsevier, vol. 167(C), pages 18-25.
  21. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
  22. Yaya, OlaOluwa S. & Vo, Xuan Vinh & Olayinka, Hammed A., 2021. "Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach," Resources Policy, Elsevier, vol. 72(C).
  23. repec:hum:wpaper:sfb649dp2016-001 is not listed on IDEAS
  24. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  25. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
  26. de Truchis, Gilles & Keddad, Benjamin, 2013. "Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 394-412.
  27. Juan Infante & Marta del Rio & Luis Alberiko Gil-Alana, 2024. "Persistent and Long-Term Co-Movements between Gender Equality and Global Prices," Economies, MDPI, vol. 12(7), pages 1-15, July.
  28. Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
  29. Johansen, Søren & Nielsen, Morten Ørregaard, 2018. "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
  30. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
  31. Marcel Aloy & Gilles Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
  32. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers 2016-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  33. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
  34. Yan, Meng & Chen, Jian & Song, Victor & Xu, Ke, 2022. "Trade friction and price discovery in the USD–CAD spot and forward markets," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  35. Mircea BAHNA & Cosmin-Octavian CEPOI & Bogdan Andrei DUMITRESCU & Virgil DAMIAN, 2018. "Estimating the Price Impact of Market Orders on the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 120-133, December.
  36. Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2024. "Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3543-3553, December.
  37. Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 339-356, April.
  38. Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
  39. Berta Marcos Ceron & Manuel Monge, 2023. "Consumer Sentiment and Luxury Behavior in the United States before and after COVID-19: Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(16), pages 1-14, August.
  40. Andreas Noack Jensen & Morten Ørregaard Nielsen, 2014. "A Fast Fractional Difference Algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 428-436, August.
  41. Katarzyna Łasak & Johannes Lont, 2020. "Observation Driven Long Run Equilibria," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 551-575, February.
  42. Luis A. Gil-Alana & Sakiru Adebola Solarin & Mehmet Balcilar & Rangan Gupta, 2023. "Productivity and GDP: international evidence of persistence and trends over 130 years of data," Empirical Economics, Springer, vol. 64(3), pages 1219-1246, March.
  43. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
  44. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
  45. Masoud Ataei & Shengyuan Chen & Zijiang Yang & M. Reza Peyghami, 2021. "Theory and Applications of Financial Chaos Index," Papers 2101.02288, arXiv.org.
  46. Baruník, Jozef & Dvořáková, Sylvie, 2015. "An empirical model of fractionally cointegrated daily high and low stock market prices," Economic Modelling, Elsevier, vol. 45(C), pages 193-206.
  47. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
  48. Søren Johansen & Morten Ørregaard Nielsen, 2019. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
  49. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019. "How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
  50. Hualde, Javier & Nielsen, Morten Ørregaard, 2020. "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 36(4), pages 751-772, August.
  51. Filippo Beltrami & Fulvio Fontini & Monica Giulietti & Luigi Grossi, 2022. "The Zonal and Seasonal CO2 Marginal Emissions Factors for the Italian Power Market," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(2), pages 381-411, October.
  52. Qian, Yao & Ralescu, Dan A. & Zhang, Bo, 2019. "The analysis of factors affecting global gold price," Resources Policy, Elsevier, vol. 64(C).
  53. Xu, Ke & Chen, Yu-Lun & Yang, J. Jimmy, 2023. "Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market," International Review of Financial Analysis, Elsevier, vol. 90(C).
  54. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Department of Economics.
  55. Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2018. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 219-242, February.
  56. Marc Gronwald & Sania Wadud, 2024. "“My Name Is Bond. Green Bond.” Informational Efficiency of Climate Finance Markets," CESifo Working Paper Series 11029, CESifo.
  57. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  58. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  59. Quineche Ricardo, 2021. "Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 21-42, January.
  60. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
  61. Morten Ø. Nielsen & Michal Ksawery Popiel, 2018. "A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model," Working Paper 1330, Economics Department, Queen's University.
  62. David Gabauer & Rangan Gupta & Jacobus Nel & Woraphon Yamaka, 2021. "Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(3), pages 771-788, June.
  63. Sakiru Adebola Solarin & Carmen Lafuente & Luis A. Gil-Alana & Maria Jesus Gonzalez Blanch, 2022. "Inequality Persistence of 21 OECD Countries from 1870 to 2020: Linear and Non-Linear Fractional Integration Approaches," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 164(2), pages 711-725, November.
  64. Ke Xu & Yu‐Lun Chen & Bo Liu & Jian Chen, 2024. "Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 605-618, April.
  65. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018. "The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis," Empirical Economics, Springer, vol. 55(3), pages 913-935, November.
  66. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
  67. Jinghong Wu & Ke Xu & Xinwei Zheng & Jian Chen, 2021. "Fractional cointegration in bitcoin spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1478-1494, September.
  68. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2016. "International stock market cointegration under the risk-neutral measure," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 243-255.
  69. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis," Finance Research Letters, Elsevier, vol. 46(PB).
  70. Gil-Alana, Luis A. & Škare, Marinko & Pržiklas-Družeta, Romina, 2019. "Measuring inequality persistence in OECD 1963–2008 using fractional integration and cointegration," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 65-72.
  71. Bent Jesper Christensen & Nabanita Datta Gupta & Paolo Santucci de Magistris, 2021. "Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(1), pages 118-149, January.
  72. OlaOluwa S. Yaya & Nurudeen Abu & Tayo P. Ogundunmade, 2021. "Economic policy uncertainty in G7 countries: evidence of long-range dependence and cointegration," Economic Change and Restructuring, Springer, vol. 54(2), pages 541-556, May.
  73. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends in unobserved components models," Papers 2005.03988, arXiv.org, revised May 2020.
  74. Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
  75. Xu, Ke & Stewart, Kenneth G. & Cao, Zeyang, 2022. "Fractional cointegration and price discovery in Canadian commodities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  76. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "A comparison of semiparametric tests for fractional cointegration," Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
  77. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
  78. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
  79. Johansen, Søren & Nielsen, Morten Ørregaard, 2016. "The Role Of Initial Values In Conditional Sum-Of-Squares Estimation Of Nonstationary Fractional Time Series Models," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1095-1139, October.
  80. Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
  81. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
  82. Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke, 2016. "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 623-639.
  83. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
  84. Søren Johansen & Morten Ørregaard Nielsen, 2012. "The role of initial values in nonstationary fractional time series models," CREATES Research Papers 2012-47, Department of Economics and Business Economics, Aarhus University.
  85. S{o}ren Johansen & Morten {O}rregaard Nielsen, 2022. "Weak convergence to derivatives of fractional Brownian motion," Papers 2208.02516, arXiv.org, revised Oct 2022.
  86. Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  87. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
  88. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
  89. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
  90. Gil-Alana, Luis A. & Mudida, Robert & Carcel, Hector, 2017. "Shocks affecting electricity prices in Kenya, a fractional integration study," Energy, Elsevier, vol. 124(C), pages 521-530.
  91. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers halshs-00879522, HAL.
  92. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
  93. Oloko, Tirimisiyu F. & Ogbonna, Ahamuefula E. & Adedeji, Abdulfatai A. & Lakhani, Noman, 2021. "Fractional cointegration between gold price and inflation rate: Implication for inflation rate persistence," Resources Policy, Elsevier, vol. 74(C).
  94. Zhenxiong Li & Marwan Izzeldin & Xingzhi Yao, 2020. "Return predictability of variance differences: A fractionally cointegrated approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1072-1089, July.
  95. Carlini, Federico & Christensen, Bent Jesper & Datta Gupta, Nabanita & Santucci de Magistris, Paolo, 2023. "Climate, wind energy, and CO2 emissions from energy production in Denmark," Energy Economics, Elsevier, vol. 125(C).
  96. Aye, Goodness C. & Carcel, Hector & Gil-Alana, Luis A. & Gupta, Rangan, 2017. "Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016," Resources Policy, Elsevier, vol. 54(C), pages 53-57.
  97. Morten Ørregaard Nielsen & Sergei S. Shibaev, 2015. "Forecasting daily political opinion polls using the fractionally cointegrated VAR model," Working Paper 1340, Economics Department, Queen's University.
  98. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
  99. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
  100. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
  101. Federico Carlini & Paolo Santucci de Magistris, 2019. "On the Identification of Fractionally Cointegrated VAR Models With the Condition," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 134-146, January.
  102. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2020. "Are there any other safe haven assets? Evidence for “exotic” and alternative assets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 614-628.
  103. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  104. Jesús Tomás Monge Moreno & Manuel Monge, 2023. "Coronavirus, Vaccination and the Reaction of Consumer Sentiment in The United States: Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(8), pages 1-8, April.
  105. Morten Ørregaard Nielsen, 2015. "Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 154-188, March.
  106. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  107. Tule, Moses K. & Salisu, Afees A. & Ebuh, Godday U., 2020. "A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques," Economic Modelling, Elsevier, vol. 87(C), pages 225-237.
  108. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
  109. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
  110. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2019. "CO2 Emissions and GDP: Evidence from China," CESifo Working Paper Series 7881, CESifo.
  111. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
  112. Ataei, Masoud & Chen, Shengyuan & Yang, Zijiang & Peyghami, M. Reza, 2021. "Theory and applications of financial chaos index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
  113. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
  114. Carlos D. Ramirez, 2024. "The effect of economic policy uncertainty under fractional integration," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 89-110, January.
  115. Monge, Manuel & Claudio-Quiroga, Gloria & Poza, Carlos, 2024. "Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends," International Economics, Elsevier, vol. 177(C).
  116. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," CREATES Research Papers 2022-07, Department of Economics and Business Economics, Aarhus University.
  117. Afsin Sahin, 2019. "Loom of Symmetric Pass-Through," Economies, MDPI, vol. 7(1), pages 1-25, February.
  118. Emawtee Bissoondoyal-Bheenick & Robert Brooks & Wei Chi & Hung Xuan Do, 2018. "Volatility spillover between the US, Chinese and Australian stock markets," Australian Journal of Management, Australian School of Business, vol. 43(2), pages 263-285, May.
  119. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
  120. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
  121. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
  122. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
  123. Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2015, January-A.
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