Essays on applied time series in macroeconomics and finance
T Kolaiti - 2022 - repo.uni-hannover.de
This dissertation is organized in four chapters. Chapter 1 introduces the methodology used
and briefly describes each chapter. Chapters 2 and 3 test for the existence of fractional …
and briefly describes each chapter. Chapters 2 and 3 test for the existence of fractional …
Volatility transmission across financial markets: A semiparametric analysis
T Kolaiti, M Mboya, P Sibbertsen - Journal of Risk and Financial …, 2020 - mdpi.com
This paper revisits the question whether volatilities of different markets and trading zones
have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider …
have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider …