Results 61 to 70 of about 482,580 (177)
Cointegration Analysis with State Space Models [PDF]
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined.
Wagner, Martin
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Constructing Country‐Specific Debt Indices for Developing Countries
Review of Development Economics, Volume 30, Issue 1, Page 237-254, February 2026.ABSTRACT Contemporary crises continue to keep governments in protracted periods of borrowing, increasing the stock and flow of sovereign indebtedness. Especially for developing economies and small states, singular metrics of public debt such as the debt‐to‐GDP ratio may not reflect the country's true debt position.
Akeem Rahaman, Scott Mark Romeo Mahadeo
wiley +1 more source
On Polynomial Cointegration in the State Space Framework [PDF]
This paper deals with polynomial cointegration, i.e. with the phenomenon that linear combinations of a vector valued rational unit root process and lags of the process are of lower integration order than the process itself (for definitions see Section 2).
Martin Wagner, Dietmar Bauer
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Cointegration and Unit Roots. [PDF]
This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables.
Jenkinson, Tim +2 more
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Embedding pairs trading in market networks: a network science approach to portfolio construction
Humanities & Social Sciences CommunicationsDiversification is the cornerstone of risk-adjusted portfolio construction. Yet, despite being a well-established principle in finance, diversification has been overlooked in pairs trading strategies, which often focus solely on selecting the most ...
Mar Grande, Javier Borondo
doaj +1 more source
Cointegration and Common Factors. [PDF]
. Alternative common factor representations for cointegrated vectors are studied. This is done by embedding them into the dynamic factor model proposed by Peña and Box (Identifying a simplifying structure in time series. J. Am. Statist. Assoc. 82 (1987),
Peña, Daniel, Escribano, Álvaro
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A procedure to detect hidden cointegration with the sieve bootstrap
, 2012 In this paper we investigate about a particular form of cointegration, called hidden cointegration, arising between positive and/or negative components of a time series and useful to model asymmetric behaviours, though requiring specific estimation and ...
PIZZI, Claudio +5 more
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A Canonical Form for Unit Root Processes in the State Space Framework [PDF]
In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle.
Martin Wagner, Dietmar Bauer
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Long and Short-Run Determinants of Money Demand in New Zealand: Evidence from Cointegration Analysis [PDF]
The existence of a stable demand for money is very important for the conduct of monetary policy even in this new era of inflation targeting. It is argued that previous work on the demand for money in New Zealand has been either not very satisfactory in a
Abbas Valadkhani
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Estimating the Volume of the Hidden Economy in Yemen, 1995-2009: Evidence from ARDL Approach of Cointegration [PDF]
, 2012 Knowing the size of the hidden economic activities is very important for economists as well as policy makers for economic development and planning.
Gamal, Awadh Ahmed Mohammed
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