On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts

This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these stylized facts. AR(1)-GARCH(1,1) and MR(3)-STAR(1)-GARCH...

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Bibliographic Details
Main Authors: Christopher Krauss, Klaus Herrmann
Format: Article
Language:English
Published: MDPI AG 2017-02-01
Series:Journal of Risk and Financial Management
Subjects:
Online Access:http://www.mdpi.com/1911-8074/10/1/7