English, Article edition: Is integration I(d) applicable to observed economics and finance time series? McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H.

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/9982
Physical Description
  • article
Language
  • English

Edition details

Title
  • Is integration I(d) applicable to observed economics and finance time series?
Author
  • McCauley, Joseph L.
  • Bassler, Kevin E.
  • Gunaratne, Gemunu H.
Physical Description
  • article
Notes
  • The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called [`]integration I(d)'. A class of regression models where cointegration works was identified by Granger and yields the ergodic behavior required for equilibrium expectations in standard economics. Detrended finance market returns are martingales, and martingales do not satisfy regression equations. We ask if there exist detrended processes beyond standard regression models that satisfy integration I(d). We show that stationary increment martingales are confined to the Wiener process, and observe that martingales describing finance data admit neither the integration I(d) nor the ergodicity required for long time equilibrium relationships. In particular, the martingales derived from finance data do not admit the time (or [`]space') translational invariance required for increment stationarity. Our analysis explains the lack of equilibrium observed earlier between FX rates and relative price levels.
  • Integration I(d) Cointegration Unit root Ergodicity Martingales White noise
  • RePEc:eee:finana:v:18:y:2009:i:3:p:101-108
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment