| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054220 | Economic Modelling | 2013 | 8 Pages |
Abstract
⺠The proposed method estimates a bivariate stationary fractional cointegration model. ⺠A Monte Carlo experiment documents the finite sample properties of this estimator. ⺠The simulation results suggest good finite sample performances of this estimator. ⺠An empirical study of the stock market synchronization issue is proposed.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Gilles de Truchis,