Results 261 to 270 of about 603,240 (292)
Some of the next articles are maybe not open access.
1993
AbstractThe key concept of co‐integration of integrated time series is defined, and several examples are presented. An important theorem due to Granger on alternative representations of a system of co‐integrated variables is stated and its proof is sketched.
Anindya Banerjee +3 more
openaire +1 more source
AbstractThe key concept of co‐integration of integrated time series is defined, and several examples are presented. An important theorem due to Granger on alternative representations of a system of co‐integrated variables is stated and its proof is sketched.
Anindya Banerjee +3 more
openaire +1 more source
Manufacturing Stocks: Expectations, Risk and Co-Integration
The Economic Journal, 1990The 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
openaire +1 more source
Sectoral Money Demand: A Co-Integration Approach
The Review of Economics and Statistics, 1994The 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
openaire +1 more source
Forecasting and Testing in Co-integrated Systems*
Journal of Econometrics, 1987Abstract This paper examines the behaviour of forecasts made from a co-integrated system as introduced by Granger (1981), Granger and Weiss (1983) and Engle and Granger (1987). It is established that a multi-step forecast will satisfy the co-integrating relation exactly and that this particular linear combination of forecasts will ...
Engle, Robert F., Yoo, Byung Sam
openaire +1 more source
Option Valuation with Co-integrated Asset Prices
SSRN Electronic Journal, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Duan, Jin-Chuan, Pliska, Stanley R.
openaire +1 more source
Co-integration and Error Correction: Representation, Estimation, and Testing
Econometrica, 1987Abstract 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
openaire +1 more source
Co‐Integration in Individual Equations
1993AbstractExamines methods of testing for co‐integration in single equations via static regressions, and provides simulation estimates of the percentiles of the distributions of statistics used in these tests. The finite‐sample biases of the estimates of the co‐integrating vectors and powers of the tests based on static regressions are discussed within ...
Anindya Banerjee +3 more
openaire +1 more source
Inference and Tests in Co-Integrated Models
2020 2nd International Conference on Mathematics and Information Technology (ICMIT), 2020This 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 +1 more
openaire +1 more source
Sites for co-integration of large staphylococcal plasmids
Gene, 1995Site-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
openaire +2 more sources
Option Pricing for Co-Integrated Assets
2002Many 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
openaire +1 more source