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estimation and testing for fractional cointegrationpreprint submitted on 21 feb 2013 hal is a multi-disciplinary open access archive for the deposit and dissemination of
testing for fractional cointegration: the relationship between government popularity and economic performance in the uk james davidson∗ cardiff university july 2000 abstract…
fractional cointegration in stochastic volatility models afonso gonçalves da silva∗ peter m robinson department of economics london school of economics and political science…
estimation and testing for fractional cointegration marcel aloy, gilles de truchis to cite this version: marcel aloy, gilles de truchis. estimation and testing for fractional…
school of economics and management aarhus university bartholins allé 10 building 1322 dk-8000 aarhus c denmark creates research paper 2009-31 a no arbitrage fractional cointegration…
risk and return: long-run relationships, fractional cointegration, and return predictability∗ tim bollerslev†, daniela osterrieder‡, natalia sizova§, and george tauchen¶…
risk and return: long-run relationships, fractional cointegration, and return predictability∗ tim bollerslev†, daniela osterrieder‡, natalia sizova§, and george tauchen¶…
fractional cointegration in stochastic volatility models afonso gonçalves da silva∗, peter m. robinson department of economics, london school of economics and political…
a wald test for the cointegration rank in nonstationary fractional systems marco avarucci and carlos velasco dipartimento di scienze economiche e aziendali, luiss guido carli…
issn: 1439-2305 number 68 – october 2007 cointegration in the foreign exchange market and market efficiency since the introduction of the euro: evidence based on bivariate…
journal of economics and development studies march 2015 vol 3 no 1 pp 23-46 issn: 2334-2382 print 2334-2390 online copyright © the authors all rights reserved published…
long-run relationships between international stock prices: further evidence from fractional cointegration tests marcel aloy, mohamed boutahar, karine gente, anne peguin-feissolle…
vectorautoregressive- var models and cointegration analysis 1 time series analysis dr. sevtap kestel vector time series 2 vector time series 3 vectorautoregression vector…
fractional cointegration in stochastic volatility models afonso gonçalves da silva∗, peter m. robinson department of economics, london school of economics and political…
cointegration • the var models discussed so fare are appropri- ate for modeling i0 data like asset returns or growth rates of macroeconomic time series • economic theory…
global equilibrium exchange rates: euro dollar “ins” “outs” and other major currencies in a panel cointegration framework prepared by enrique alberola susana g cervero…
the authors thank giuseppe cavaliere søren johansen and katarzyna lasak for useful comments and sug- gestions they also thank the participants to creates weekly seminars…
likelihood inference for a fractionally cointegrated vector autoregressive model� revision v9 søren johanseny university of copenhagen and creates morten Ørregaard nielsenz…
8/22/2019 cointegration eg 1/13cointegrationprofessor dr. abdul qayyumaugust 2, 2013 time series analysis 18/22/2019 cointegration eg 2/13introduction it is first introduced…
8/8/2019 cointegration article 1/28journal ofeconometricselsevier journal of econometrics 70 (1996) 99- 126residual-based tests for cointegration in modelswith regime shiftsallan…