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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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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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Наука Красноярья, 2023 The article presents an assessment of the cointegration of inflation and productivity indicators on the example of: Russia and UEMOA countries. As part of the study, an attempt was made to assess the presence of a long-term balance between the studied ...
Aleksandr V. Portnov +1 more
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Public Expenditures on Secondary Education and School Enrollment Rates: A Panel Pooled Group Mean Approach [PDF]
پژوهشهای برنامه و توسعه, 2023 The educational system in some less developed and developing countries, including Iran, are expensive, inefficient, and weak, which in turn weakens the accomplishment of their educational system.
Elham Fatholahi
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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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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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Asymmetric Price Transmission: A Case of Wheat in India
Agriculture, 2022 In the present paper, horizontal and vertical integration was carried out on the wholesale and retail prices of wheat in the major markets of India. On confirming cointegration between the wholesale and retail prices of wheat in all needs, the vector ...
Ranjit Kumar Paul, Tanmoy Karak
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Some effects of lagged relationship on the cointegration inferences in small samples
Lietuvos Matematikos Rinkinys, 2004 A Monte Carlo simulation is performed in order to investigate the effects of lagged relationship on the cointegration inference in a single equation. Given a small data sample the standard application of Engle–Granger cointegration testing procedure is
Virmantas Kvedaras
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On the robustness of cointegration tests when series are fractionally integrated [PDF]
, 1996 This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust ...
Gonzalo, Jesús, Lee, Tae-Hwy
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Complexity, 2022 According to the definition of nonlinear cointegration, this article studies the small sample nonlinear cointegration test and NECM (Nonlinear Error Correction Model) based on the LS-SVM (Least Squares Support Vector Machine) optimized by PSO (Particle ...
Jungang Du
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