Essays on fractional cointegration and seasonal long memory

Publikation: Qualifikations-/StudienabschlussarbeitDissertation

Autoren

  • Michelle Voges

Organisationseinheiten

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Details

OriginalspracheEnglisch
QualifikationDoctor rerum politicarum
Gradverleihende Hochschule
Betreut von
  • Philipp Sibbertsen, Betreuer*in
Datum der Verleihung des Grades18 Sept. 2019
ErscheinungsortHannover
PublikationsstatusVeröffentlicht - 2019

Abstract

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 the 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.

Zitieren

Essays on fractional cointegration and seasonal long memory. / Voges, Michelle.
Hannover, 2019. 123 S.

Publikation: Qualifikations-/StudienabschlussarbeitDissertation

Voges, M 2019, 'Essays on fractional cointegration and seasonal long memory', Doctor rerum politicarum, Gottfried Wilhelm Leibniz Universität Hannover, Hannover. https://doi.org/10.15488/5520
Voges, M. (2019). Essays on fractional cointegration and seasonal long memory. [Dissertation, Gottfried Wilhelm Leibniz Universität Hannover]. https://doi.org/10.15488/5520
Voges M. Essays on fractional cointegration and seasonal long memory. Hannover, 2019. 123 S. doi: 10.15488/5520
Voges, Michelle. / Essays on fractional cointegration and seasonal long memory. Hannover, 2019. 123 S.
Download
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