Essays on fractional cointegration and seasonal long memory

Research output: ThesisDoctoral thesis

Authors

  • Michelle Voges

Research Organisations

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Details

Original languageEnglish
QualificationDoctor rerum politicarum
Awarding Institution
Supervised by
  • Philipp Sibbertsen, Supervisor
Date of Award18 Sept 2019
Place of PublicationHannover
Publication statusPublished - 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.

Cite this

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

Research output: ThesisDoctoral thesis

Voges, M 2019, 'Essays on fractional cointegration and seasonal long memory', Doctor rerum politicarum, Leibniz University Hannover, Hannover. https://doi.org/10.15488/5520
Voges, M. (2019). Essays on fractional cointegration and seasonal long memory. [Doctoral thesis, Leibniz University Hannover]. https://doi.org/10.15488/5520
Voges M. Essays on fractional cointegration and seasonal long memory. Hannover, 2019. 123 p. doi: 10.15488/5520
Voges, Michelle. / Essays on fractional cointegration and seasonal long memory. Hannover, 2019. 123 p.
Download
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