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Interregional Differences in Inflation through the Prism of Ackley’s Theory [PDF]
Финансовый журнал, 2023 In Russia inflation, as measured by the consumer price index (CPI), varies greatly from region to region. This study aims to find an answer to the following question: does there exist a long-term, equilibrium relationship between these differences and ...
Boris I. Alekhin
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Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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Fractional Integration and Cointegration [PDF]
, 2023 Fractionally integrated and fractionally cointegrated time series are classes of models that generalize standard notions of integrated and cointegrated time series. The fractional models are characterized by a small number of memory parameters that control the degree of fractional integration and/or cointegration.
Hualde, Javier +1 more
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A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models
Austrian Journal of Statistics, 2022 Several authors have studied fractional cointegration in time series data, but little or no consideration has been extended to panel data settings. Therefore, in this paper, we compare the finite sample behaviour of existing fractional cointegration ...
Saidat Fehintola Olaniran +1 more
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Convergence and Cointegration [PDF]
SSRN Electronic Journal, 2011 This paper provides a new, united, and flexible framework to measure and characterize convergence in prices. We formally define this notion and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement of such transi-tional behaviors and the development of ...
Alfredo García-Hiernaux +1 more
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Energies, 2023 Cointegration theory has been recently proposed for condition monitoring and fault detection of wind turbines. However, the existing cointegration-based methods and results presented in the literature are limited and not encouraging enough for the ...
Phong B. Dao
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Defence spending and economic growth in the Visegrad countries [PDF]
Panoeconomicus, 2020 This paper aims to consider the impact of military outlays on economic stance in several states in Central Europe. Therefore, we attempted to search the long- and short-range causality between defence spending and economic growth in the Visegrad ...
Waszkiewicz Grzegorz
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Nonstationary Cointegration in the Fractionally Cointegrated VAR Model [PDF]
SSRN Electronic Journal, 2018 We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment ...
Søren Johansen +3 more
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Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia [PDF]
Global Journal Al-Thaqafah, 2017 This paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995- 2014.
Jaafar Pyeman, Ismail Ahmad
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On cointegration and cryptocurrency dynamics [PDF]
Digital Finance, 2020 AbstractThis paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework.
Georg Keilbar +2 more
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