Fractional cointegration in bitcoin spot and futures markets
This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to
examine high‐frequency price discovery of bitcoin spot and futures prices from December …
examine high‐frequency price discovery of bitcoin spot and futures prices from December …
The Effect of the US Quantitative Easing on the Term Structure. A Spatial Panel Model.
In this paper, we apply the spatial panel model that accounts for serial dynamics,
crosssectional dependence, and common factors to assess interest rate sensitivity across …
crosssectional dependence, and common factors to assess interest rate sensitivity across …
Long memory linkages amongst Latin American stock markets. A fractional cointegration approach
JC Vides - Spanish Journal of Finance and Accounting/Revista …, 2022 - Taylor & Francis
This paper examines long-run relationships amongst six Latin American stock markets as
possible evidence for their economic development, by using fractional cointegration which is …
possible evidence for their economic development, by using fractional cointegration which is …