Non-linear Cointegration Analysis on Dowjones Index and Nasdaq Index
道琼斯工业指数与纳斯达克指数的非线性协整分析

After fractional order differencing, the long momory series of Dowjones index and Nasdaq index become stationary, but the fractional order of two indexes is different, so there does not exist linear cointegration relation between them. We put special emphasis on the non-linear cointegration relation between Dowjones index and Nasdaq index.