Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"fractional cointegration"”.
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Fractional Integration and Political Modeling
… dissertation investigates the consequences of fractional dynamics for political modeling. Using Monte Carlo analyses, Chapters II and III investigate the threats to statistical inference posed by including fractionally integrated variables in bivariate and multivariate regressions. Fractional …
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Integration of Liberalised European Electricity Markets
… of special events. Spot prices are found to be fractionally integrated and mean-reverting processes whose parameters are time-dependent and associated with electricity market coupling initiatives or changes in interconnector capacity. Forward prices, in contrast, do not revert to the mean, and …
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Essays on Regional Recessions, Spatial Interactions and Forecasting
… capabilities of the recently developed fractionally cointegrated vector auto-regressive (FCVAR) model. The results show that the FCVAR model delivers superior forecast accuracy relative to a portfolio of existing alternatives. Furthermore, the forecasts generated by the FCVAR model …