Results 21 to 30 of about 106,356 (205)
Recent Developments in Cointegration [PDF]
, 2018 It is well known that inference on the cointegrating relations in a vector autoregression (CVAR) is difficult in the presence of a near unit root. The test for a given cointegration vector can have rejection probabilities under the null, which vary ...
Franchi, Massimo, Johansen, Søren
core +1 more source
Is There Any Sectoral Cointegration in Indonesia Equity Market?
International Research Journal of Business Studies, 2018 This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data.
Aileen Clarissa Surya, Gabriella Natasha
doaj +1 more source
Instrumental Variable Interpretation of Cointegration with Inference Results for Fractional Cointegration [PDF]
, 2002 In this paper we propose an alternative characterization of the central notion of cointegration, exploiting the relationship between the autocovariance and the cross-covariance functions of the series.
Aparicio, Felipe M. +2 more
core +3 more sources
Forecasting Real GDP Growth for Africa
Econometrics, 2022 We propose a simple and reproducible methodology to create a single equation forecasting model (SEFM) for low-frequency macroeconomic variables. Our methodology is illustrated by forecasting annual real GDP growth rates for 52 African countries, where ...
Philip Hans Franses, Max Welz
doaj +1 more source
Cointegrations in house price dynamics and ageing population risks.
PLoS ONEHow does the riskiness of an ageing population change with house price dynamics of rural areas? Why do rural house prices increase faster than cities despite their ageing populations?
William M Cheung
doaj +1 more source
Comparative Economic Research, 2023 The article shows the relationships between the COVID and non‑COVID deaths during the first year of the pandemic, compared with the stringency of restrictions imposed and the compulsory spending on healthcare.
Agata Kliber +1 more
doaj +1 more source
The causal relationship between current account and financial account balance in Western Balkan countries: The case of Serbia [PDF]
Bankarstvo, 2020 The Western Balkans (WB) countries registered an increase in the current account (CA) deficit and net capital inflow in the period before the outbreak of the global financial crisis of 2008. The external debt of these countries has increased.
Kovačević Radovan
doaj +1 more source
FRACTIONAL COINTEGRATION ANALYSIS OF STOCK MARKET AND EXCHANGE RATES: THE CASE OF TURKEY [PDF]
Financial Studies, 2016 The fluctuations and responses between the exchange rate and the stock market has been a topic of interest for both policy makers and market participants for a long time.
Deniz ERER, Elif ERER, Tuna Can GÜLEÇ
doaj
Bayesian Conditional Cointegration [PDF]
, 2012 Cointegration is an important topic for time-series, and describes a relationship between two series in which a linear combination is stationary. Classically, the test for cointegration is based on a two stage process in which first the linear relation ...
Barber, David, Bracegirdle, Chris
core +2 more sources
Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?
Agribusiness, EarlyView.ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
wiley +1 more source