Results 261 to 270 of about 58,428 (305)

Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

The Journal of Finance, 1994
ABSTRACTMultivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly ...
Baillie, Richard T, Bollerslev, Tim
openaire   +1 more source

Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

Statistical Methodology, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Krishnakumar, Jaya, Neto, David
openaire   +1 more source

Canonical Cointegrating Regressions

Econometrica, 1992
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Seasonal Integration and Cointegration*

Journal of Econometrics, 1990
Abstract Abstract. This paper develops tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies. Critical values for the tests are generated by Monte Carlo methods or are shown to be available from Dickey-Fuller or Dickey-Hasza-Fuller critical values.
Hylleberg, Svend, Engle, Robert F., Granger, Clive W.J., Yoo, B. Sam   +3 more
openaire   +2 more sources

Cointegration

1997
Abstract 9.1.1. As another important application of our method let us consider the problem of whether micro cointegration implies macro cointegration. We do not want to deal with the problem at a high level of generality. However, the reader will be easily convinced that our results, obtained in the two variable case, can be extended ...
Mario Forni, Marco Lippi
openaire   +1 more source

Cointegration

2008
  +5 more sources

Cointegration

2012
Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler   +2 more
  +5 more sources

Cointegration

2000
Haiyan Song, Stephen F. Witt
openaire   +1 more source

Monitoring cointegration in systems of cointegrating relationships

Econometrics and Statistics
Etienne Theising, Dominik Wied
openaire   +1 more source

Cointegration

2023
openaire   +1 more source