Results 221 to 230 of about 605,678 (268)

Searching co-integrated portfolios by a genetic algorithm

2009 World Congress on Nature & Biologically Inspired Computing (NaBIC), 2009
Searching for portfolios co-integrated with an index offers new opportunities in designing robust investment strategies. The problem of finding optimal index co-integrated portfolios that are maximally stationary is combinatorial. Indeed, given a basket of equities, the portfolio/index co-integration cannot be simply expressed in terms of equity/index ...
Pravesh Kriplani, Luigi Troiano
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Manufacturing Stocks: Expectations, Risk and Co-Integration

The Economic Journal, 1990
The modelling of firms inventory behaviour has been plagued by structural instability and despite a great deal of research effort over recent years little headway has yet been made in producing a structurally stable model of stock levels. Wallis et al. (I987) surveyed the main UK models of inventory behaviour and concluded that 'the tests of predictive
Callen, T S, Hall, S G, Henry, S G B
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Sectoral Money Demand: A Co-Integration Approach

The Review of Economics and Statistics, 1994
The major emphasis in previous money demand studies has been at the aggregate level, with little systematic attention paid to sectoral differences in money holding behavior. This paper attempts to address the latter issue by focusing on more homogeneous subgroups to gauge money holding patterns.
Jain, Parul, Moon, Choon-Geol
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Inference and Tests in Co-Integrated Models

2020 2nd International Conference on Mathematics and Information Technology (ICMIT), 2020
This document is based on methods of cointegrating models by applying the two-step procedure of Engle-Granger (1987), the Phillip-Ouliaris (1988) residual-based test and Johansens multivariate technique(1988). The cointegration techniques are tested on the Prices3 data set using statistical software R.
Mohammed Bassoudi, El Mezouar Zouaoui CHIKR   +1 more
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Sites for co-integration of large staphylococcal plasmids

Gene, 1995
Site-specific recombination is thought to play an important role in the evolution of multi-resistant plasmids in bacteria, including the human pathogen Staphylococcus aureus (Sa). A mechanism for site- and orientation-specific recombination between large Sa plasmids was identified in Sa strain 1054.
M, Sohail, K G, Dyke
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Option Valuation with Co-integrated Asset Prices

SSRN Electronic Journal, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Duan, Jin-Chuan, Pliska, Stanley R.
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Co-integration and Error Correction: Representation, Estimation, and Testing

Econometrica, 1987
Abstract The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x,tfirst achieves stationarity after differencing, but a linear combination α ′x, is ...
Engle, Robert F, Granger, Clive W J
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Are saving and investment co-integrated?

Economics Letters, 1988
Abstract The observation of a strong positive correlation between national saving and domestic investment rates calls into question the assumption of highly-mobile international capital. I re-examine the question of a high correlation by considering the time-series relationship between national saving and domestic investment rates in the U.S., using ...
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Co-integration of optoelectronics and submicrometer CMOS

IEEE Transactions on Components, Hybrids, and Manufacturing Technology, 1993
The rapid emergence of multichip modules (MCMs) and the continuing interest in wafer scale integration (WSI) provide important opportunities for successful insertion of high performance optical interconnections into real systems. The large area substrates and the distances between packaged wafer-level modules introduce distances of sufficient length ...
S.K. Tewksbury, L.A. Hornak, H.E. Nariman, S.P. McGinnis   +3 more
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Option Pricing for Co-Integrated Assets

2002
Many financial data series are known to be co-integrated. The implications of this for option valuation are studied in this article. Since co-integration is commonly considered in a discrete time context, here we take a GARCH option pricing approach. In the course of doing so, we present new theoretical results for a discrete time price process to be ...
Jin-Chuan Duan, Stanley R. Pliska
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