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Paolo SANTUCCI DE MAGISTRIS (Aarhus BSS) “Resuscitating the co-fractional model of Granger (1986)”.

June 21, 4:15 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 16:15 pm – 17:15 pm
Date: 21th of June 2018
Place: Room 3001.

Paolo SANTUCCI DE MAGISTRIS (Aarhus BSS) “Resuscitating the co-fractional model of Granger (1986)”.

AbstractWe show that the model for fractional cointegration proposed by Granger (1986) allows for a representation of the solution that demonstrates the fractional and co-fractional properties. Moreover, the model is identified for any combination of number of lags and cointegration rank. This solves all the identification problems associated with the FCVAR_d,b specification of Johansen (2008), and discussed in Carlini and Santucci de Magistris (2018).

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
June 21
Time:
4:15 pm
Event Categories:
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Venue