Results 71 to 80 of about 1,719 (118)
Recent Advances in Cointegration Analysis
, 2005 http://www.iue.it/PUB/ECO2004-12 ...
openaire +2 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Cointegration analysis of metals futures
Mathematics and Computers in Simulation, 2002The London Metal Exchange (LME) is a centre for spot and futures trading in the main industrially-used non-ferrous metals. In this paper, the market for 3-month LME copper futures contracts is analysed. The risk premium hypothesis and the cost-of-carry (COC) model are the standard theoretical models for pricing futures contracts, but these two models ...
Clinton Watkins, Michael McAleer
openaire +1 more source
Cointegration analysis in the presence of outliers [PDF]
The Econometrics Journal, 2004 Summary: The effects of innovational outliers and additive outliers in cointegrated vector autoregressive models are examined and it is analyzed how outliers can be modelled with dummy variables. A Monte Carlo simulation illustrates that additive outliers are more distortionary than innovational outliers, and misspecified dummies may distort inference ...
openaire +4 more sources
Cointegration analysis of the Fed model
Finance Research Letters, 2005The Fed Model assumes that, the equity earnings yield follows the bond yield in the long run. This effect can be used to predict changes in the equity prices when the yields are far apart. Our tests based on a cointegration analysis of the United States, United Kingdom and German data indicate that the Fed model has predictive power.
Matti Koivu +2 more
openaire +1 more source
Statistical analysis of cointegration vectors
Journal of Economic Dynamics and Control, 1988Abstract We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by id. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
openaire +1 more source
Cointegration Analysis of Seasonal Time Series
Journal of Economic Surveys, 1998This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series properties, it is necessary to decide how seasonal variation is included in the multivariate model and how standard cointegration methods should accordingly be ...
Franses, Philip Hans, McAleer, Michael
openaire +2 more sources
BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
Econometric Theory, 2005Summary: A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables ...
openaire +2 more sources
Vertical price leadership: A cointegration analysis
Agribusiness, 2002AbstractHere we detail a method to test whether or not retailers allow suppliers to set the wholesale price not only on the basis of the costs faced by the suppliers but also on the basis of consumer demand. Using standard theory, long‐run price relationships between the stages in the channel are derived.
Kuiper, W.E., Meulenberg, M.T.G.
openaire +1 more source
The Demand for Money in Canada: A Cointegration Analysis
International Economic Journal, 1996In this Paper, using the techniques in cointegration theory, we find strong support for the existence of a long-run equilibrium relationship among money demand variables in Canada. Additionally, when the conventional partial adjustment model (PAM) is compared to the two-stage error correction model (ECM), the latter approach is found to perform better,
SHEKAR BOSE, HAFIZUR RAHMAN
openaire +1 more source