Essays on fractional cointegration and seasonal long memory [article]

Michelle Voges, University, My, University, My
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
more » ... e 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.
doi:10.15488/5520 fatcat:6xkvdizoibe4pcnsuygnkkldgu