Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization IssueReport as inadecuate




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1 GREQAM - Groupement de Recherche en Économie Quantitative d-Aix-Marseille

Abstract : I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors to estimate jointly all parameters of interest of the model: the long run coefficient and the long memory parameters of the regressor and errors. I lead a Monte Carlo experiment which reveals the good finite sample properties of this estimator, even when the parameter space is extended to the non-stationary regions. An application to the stock market synchronization is proposed to illustrate the empirical relevance of this estimator.

Keywords : Fractional cointegration Frequency domain Full-band estimator Monte-Carlo simulation Parametric estimation





Author: Gilles De Truchis -

Source: https://hal.archives-ouvertes.fr/



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