Essays about: "fractional cointegration"

Found 1 essay containing the words fractional cointegration.

  1. 1. Fractional Cointegration and Price Discovery in FX Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Johan Faxner; [2023]
    Keywords : exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

    Abstract : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. READ MORE