Results 161 to 170 of about 23,114,135 (294)
Cointegrating Polynomial Regressions With Power Law Trends
Journal of Time Series Analysis, Volume 47, Issue 2, Page 331-344, March 2026.ABSTRACT The common practice in cointegrating polynomial regressions (CPRs) often confines nonlinearities in the variable of interest to stochastic trends, thereby overlooking the possibility that they may be caused by deterministic components. As an extension, we propose univariate and multivariate CPRs that incorporate power law deterministic trends.
Yicong Lin, Hanno Reuvers
wiley +1 more source
Causal links between trade, foreign direct investment and economic growth for Bangladesh [PDF]
This study investigates empirically the causal relationship between trade, foreign direct investment (FDI) and economic growth of Bangladesh for the period of 1973 to 2008.
Syed Imran Ali Meerza
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Omitted variables in cointegration analysis [PDF]
, 2003 This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991). We show that underspecification of the statistical model leads to either failure in detecting cointegration or underestimation of the cointegrating rank.
openaire +2 more sources
Speed of Adjustment in Digital Assets in a Decentralized Financial World
Journal of Futures Markets, Volume 46, Issue 2, Page 320-333, February 2026.ABSTRACT This paper investigates the stability and co‐movement of cryptocurrency assets in Decentralized Finance (DeFi), with a focus on the Speed of Adjustment (SA), the rate at which shocks dissipate, and prices revert to long‐run equilibrium. SA provides a critical measure of market efficiency and portfolio allocation in a highly volatile DeFi ...
Jeremy Eng‐Tuck Cheah +3 more
wiley +1 more source
Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests [PDF]
This paper examines the relationships between the Russian and other Central European (CE) and developed countries’ equity markets over the 1995-2004 period.
M. Lucey, Brian, Voronkova, Svitlana
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Dynamic Debt With Intensity‐Based Models
Journal of Futures Markets, Volume 46, Issue 2, Page 334-352, February 2026.ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley +1 more source
Informational inefficiency of the Brazilian stockmarket [PDF]
Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian stockmarket is efficient in processing new information about public macroeconomic data (semi-strong efficiency).
Da Silva, Sergio +2 more
core +1 more source
Statistics in Medicine, Volume 45, Issue 3-5, February 2026.ABSTRACT Network meta‐analysis of randomized controlled trials is traditionally conducted on a single outcome measured at one time point. However, many trials also feature a secondary outcome and both outcomes may have been reported at multiple time points. Existing network meta‐analysis methods for synthesizing continuous outcome data from such trials
Pai‐Shan Cheng +2 more
wiley +1 more source
Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002 [PDF]
In this paper we examine the role of nonlinearities in the relationship between nominal interest rates and inflation, in order to shed some additional light on the mostly unfavorable evidence on the presence of a full Fisher effect.
Carmen Díaz Roldán +2 more
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