A looser cointegration concept using fractional integration parameters and quantification of market responsiveness

DOI10.1016/S0378-3758(01)00147-1zbMath0988.62070MaRDI QIDQ5957838

H. D. Vinod

Publication date: 27 June 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

time series; long memory; prices; stock dividends; wages

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries

Uses Software

• S-PLUS

Cites Work

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• Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model
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• Econometrics