Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

Detalhes bibliográficos
Autor(a) principal: Balboa, Marina
Data de Publicação: 2021
Outros Autores: Rodrigues, Paulo M. M., Rubia, Antonio, Taylor, A. M Robert
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/162586
Resumo: Publisher Copyright: © 2021 The Authors. Journal of Applied Econometrics published by John Wiley & Sons Ltd. Copyright: Copyright 2021 Elsevier B.V., All rights reserved.
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spelling Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volumeSocial Sciences (miscellaneous)Economics and EconometricsPublisher Copyright: © 2021 The Authors. Journal of Applied Econometrics published by John Wiley & Sons Ltd. Copyright: Copyright 2021 Elsevier B.V., All rights reserved.We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the Lagrange multiplier principle to a feasible generalised least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is that it is constructed using a heteroskedasticity-robust estimate of the variance matrix. As a result, the test has a standard χ2 limiting null distribution under considerably weaker conditions on the innovations than are permitted in the extant literature. Specifically, we allow the innovations driving the FIVAR model to follow a vector martingale difference sequence allowing for both serial and cross-sectional dependence in the conditional second-order moments. We also do not constrain the order of fractional integration of each element of the series to lie in a particular region, thereby allowing for both stationary and non-stationary dynamics, nor do we assume any particular distribution for the innovations. A Monte Carlo study demonstrates that our proposed tests avoid the large oversizing problems seen with extant tests when conditional heteroskedasticity is present in the data. We report an empirical case study for a sample of major US stocks investigating the order of fractional integration in trading volume and different measures of volatility in returns, including realised variance. Our results suggest that both return volatility and trading volume are fractionally integrated, but with the former generally found to be more persistent (having a higher fractional exponent) than the latter, when more reliable proxies for volatility such as the range or realised variance are used.NOVA School of Business and Economics (NOVA SBE)RUNBalboa, MarinaRodrigues, Paulo M. M.Rubia, AntonioTaylor, A. M Robert2024-01-20T22:18:56Z2021-082021-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10362/162586eng0883-7252PURE: 32652429https://doi.org/10.1002/jae.2829info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-22T01:39:59Zoai:run.unl.pt:10362/162586Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:56:27.546176Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
title Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
spellingShingle Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
Balboa, Marina
Social Sciences (miscellaneous)
Economics and Econometrics
title_short Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
title_full Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
title_fullStr Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
title_full_unstemmed Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
title_sort Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
author Balboa, Marina
author_facet Balboa, Marina
Rodrigues, Paulo M. M.
Rubia, Antonio
Taylor, A. M Robert
author_role author
author2 Rodrigues, Paulo M. M.
Rubia, Antonio
Taylor, A. M Robert
author2_role author
author
author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Balboa, Marina
Rodrigues, Paulo M. M.
Rubia, Antonio
Taylor, A. M Robert
dc.subject.por.fl_str_mv Social Sciences (miscellaneous)
Economics and Econometrics
topic Social Sciences (miscellaneous)
Economics and Econometrics
description Publisher Copyright: © 2021 The Authors. Journal of Applied Econometrics published by John Wiley & Sons Ltd. Copyright: Copyright 2021 Elsevier B.V., All rights reserved.
publishDate 2021
dc.date.none.fl_str_mv 2021-08
2021-08-01T00:00:00Z
2024-01-20T22:18:56Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/162586
url http://hdl.handle.net/10362/162586
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0883-7252
PURE: 32652429
https://doi.org/10.1002/jae.2829
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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