Modeling Stock High-Low Price Range: Fractional Cointegrating VAR Approach (FCVAR)
ObjectiveThis paper seeks to employ fractional cointegration methodology to model high and low stock prices, as well as the range series, indicating the difference between high and low stock prices. Additionally, it tries to examine the regime-switching characteristic in the cointegrating relationsh...
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| Main Author: | |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2024-03-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_96670_0efed0fd1237f2723ed476c93c970dfa.pdf |
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