On the robustness of cointegration tests when series are fractionally integrated [PDF]
, 2000 This paper shows that when series are fractionally integrated, but unit root tests wrongly indicate that they are I(1), Johansen likelihood ratio (LR) tests tend to find too much spurious cointegration, while the Engle-Granger test presents a more robust
Gonzalo, Jesús, Lee, Tae-Hwy
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Arbitrage, market definition and monitoring a time series approach [PDF]
, 2012 This article considers the application to regional price data of time series methods to test stationarity, multivariate cointegration and exogeneity.
Burke, S, Hunter, J
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How Regulation and Global Standing Shape Stock Market Co‐Movements: A G20 Panel Study
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT Motivated by post‐2020 fragmentation and underexplored institutional‐geopolitical drivers, we examine how regulatory quality (RQ) and global power (GP) shape stock‐market co‐movements across 17 G20 economies. We estimate time‐varying correlations via ADCC‐GARCH, construct a scaled correlation index, and apply panel ARDL. We find that higher RQ
Sama Haddad +4 more
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Is Double Trouble? – How to Combine Cointegration Tests [PDF]
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test.To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can
Christian Bayer, Christoph Hanck
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COINTEGRATION ANALYSIS OF EUROPEAN STOCK MARKETS (ROMANIA, GERMANY, FRANCE AND POLAND) FROM THE PERSPECTIVE OF THE NET ASSETS INVESTMENT OF THE ROMANIAN MANDATORY PRIVATE PENSION FUNDS [PDF]
Economica, 2016 The goal of this paper is to investigate cointegration between Bucharest Stock Exchange and three European Stock Markets: Germany,France and Poland, respectively.
Andreea-Cristina PETRICA +2 more
doaj
Testing the Market Integration in Regional Cantaloupe and Melon Markets between the U.S. and Mexico: An Application of Error Correction Model [PDF]
Examine the integration between U.S. and Mexican cantaloupe and watermelon prices using cointegration and error correction model approach. Cointegration analysis shows significant post-2002 improvement in market integration, particularly in the speed at ...
Rosson, C. Parr, III +2 more
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Price Discovery in Bitcoin ETF Market
Financial Review, Volume 61, Issue 2, Page 435-449, May 2026.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Intertemporal solvency of Turkey’s current account [PDF]
We test for sustainability of Turkey’s current account position between 1992 and 2007 using the intertemporal solvency model of Hakkio and Rush (1991) and Husted (1992).
Ayla Ogus, Niloufer Sohrabji
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Journal of Forecasting, Volume 45, Issue 3, Page 1110-1128, April 2026.ABSTRACT Pairs trading, a popular algorithmic trading strategy, exploits the short‐term price difference (spread) between two comoving assets. Empirically, the spread distribution of most assets in pairs trading has a fat‐tail characteristic that does not follow a normal distribution.
Yuhee Kwon, Youngsoo Choi
wiley +1 more source
Long-run Validity of Export-Led Growth: An Empirical Reinvestigation from Linear and Nonlinear Cointegration Test [PDF]
This study is able to uncover long-run cointegration relationship for Singapore and South Korea, based on the Breitung (2001) rank test procedures. Breitung (2001) rank test can detect both linear and nonlinear cointegration relationships, added value to
Chong Mun Ho +2 more
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