Fractional cointegration and co-movements in international financial markets.

Summary The purpose of this thesis is to study fractional cointegration systems of triangular form but also to analyze the contribution of these systems in the modeling of co-movements in international financial markets. The thesis is structured around six chapters equally divided between econometric and economic contributions. Concerning the econometric approach, a particular interest is given to the estimation of these systems in the absence of information on the interest parameters. In this perspective, several estimation techniques are analyzed and developed, mainly in the frequency domain, as this allows a semi-parametric treatment of the nuisance parameters. The performance of these estimators is studied through simulations but also through the study of asymptotic properties. Concerning the economic approach, a first contribution exploits fractional cointegration to reveal the existence of an exchange rate system between some Asian countries. A second contribution deals with the analysis of the interdependencies between the oil market and various exchange rates in terms of volatility. A third contribution introduces an adaptive learning process in a multi-country monetary model to study under which conditions an exchange rate system can emerge.