Results 101 to 110 of about 5,155 (224)
International Journal of Islamic Economics and Finance StudiesThe study tests whether Sukuk/Islamic bonds and the economy are in a dynamic equilibrium using quarterly data from GCC countries and Türkiye. The Johansen cointegration technique is adopted. Also, we have applied the LRSM to check whether the long relation is consistent with the a priori information.
openaire +1 more source
Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process.
Mallory, Mindy L., Lence, Sergio H.
core
Unrestricted Cointegration Rank Test (Trace) by methods of Johansen and Juselius.
, 2016 Unrestricted Cointegration Rank Test (Trace) by methods of Johansen and Juselius.
Tharaniyil Mani Jacob (2610139) +8 more
core +1 more source
Integración e transmisión de prezos entre os mercados de millo e do polo de engorde en Brasil
Revista Galega de Economía, 2013 The objective of this paper is to evaluate the dynamics of price transmission between corn and poultry markets in Brazil from 2000 to 2010. The Dickey-Fuller Generalized Least Square (DF-GLS) unit root test, the Granger causality (1969), the Johansen ...
Carlos Eduardo Caldarelli
doaj
International Market Integration for Natural Gas?: A Cointegration Analysis of Prices in Europe, North America and Japan [PDF]
We examine the degree of natural gas market integration in Europe, North America and Japan, between the mid 1990's and 2002. The relationship between the international gas marker prices, and their relation to the oil price, are investigated through ...
Anne Neumann +3 more
core
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
core
Impactos do Índice Dow Jones, Commodities e Câmbio sobre o Ibovespa: uma Análise do Efeito Contágio [PDF]
RAC: Revista de Administração Contemporânea, 2012 The purpose of this research is to evaluate the existence of contagion effects of the Dow Jones index, commodity prices and exchange rate on the trajectory of the Bovespa index in the period 1999-2010, and analyze the longterm relationships between the ...
Pedro Raffy Vartanian
doaj
Nonparametric cointegration analysis
In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating vectors, that do not need specification of the data-generating process, apart from some mild regularity conditions, or estimation of ...
Bierens, H.J.
core
Modeling Real GDP Per Capita in the USA: Cointegration Test [PDF]
A two-component model for the evolution of real GDP per capita in the USA is presented and tested. The first component of the GDP growth rate represents an economic trend and is inversely proportional to the attained level of real GDP per capita itself ...
Oleg Kitov +2 more
core