Search Results - subject:"Nonparametric cointegration"

International Equity Diversification Between the United States and Brics Countries

Zhong, Ming; Chang, Tsangyao; Tzeng, Han-Wen - In: Journal for Economic Forecasting (2014) 1, pp. 123-138

This study uses an enhanced powerful nonparametric cointegration test developed by Bierens (1997) to re …

Persistent link: https://www.econbiz.de/10010765775

Nonlinear short-run adjustments between house and stock prices in emerging Asian regions

Fang, Hao; Lee, Yen-Hsien; Chang, William S. - In: Panoeconomicus 65 (2018) 1, pp. 37-63

Persistent link: https://www.econbiz.de/10011894526

International equity diversification between Taiwan and its major trading partners : nonparametric cointegration test

Chang, Tsangyao; Yu, Chin-Ping - In: Economics & finance notes 6 (2017) 1, pp. 103-113

Persistent link: https://www.econbiz.de/10011773670

Equity diversification in two Chinese share markets : nonparametric cointegration test

Chang, Tsangyao; Zhang, Yichun; Tzeng, Han-Wen - In: International journal of economics 11 (2017) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10011708554

Cointegration and asymmetric adjustment: Some new evidence concerning the behaviour of the US current account

Holmes, Mark J.; Panagiotidis, Theodore - 2009

) and Breitung and Taylor (2003) nonparametric cointegration test procedures that do not assume linear short-run dynamics …

Persistent link: https://www.econbiz.de/10004991487

COINTEGRATION AND ASYMMETRIC ADJUSTMENT: SOME NEW EVIDENCE CONCERNING THE BEHAVIOUR OF THE US CURRENT ACCOUNT

Holmes, Mark J.; Panagiotidis, Theodore - Rimini Centre for Economic Analysis (RCEA) - 2009

cointegrated. We also consider the Breitung (2002) and Breitung and Taylor (2003) nonparametric cointegration test procedures that …

Persistent link: https://www.econbiz.de/10008498047

The Sustainability of India's current account (1950-2003): Evidence from parametric and non-parametric unit root and cointegration tests

Panagiotidis, Theodore; Holmes, Mark J.; Sharma, Abhijit - Rimini Centre for Economic Analysis (RCEA) - 2007

This study conducts an investigation into the sustainability of the Indian current account over the study period 1950-2003. It is argued that a necessary condition for current account sustainability is that exports and imports are cointegrated. After testing for unit roots that allow for a...

Persistent link: https://www.econbiz.de/10005091091

Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australiano

Trofimov, Ivan D. - In: Economia Internazionale / International Economics 66 (2013) 1, pp. 87-112

– nonparametric cointegration that appears to be the most appropriate for the financial data analysis, and principal component …’ nonparametric cointegration the number of cointegrating relations between respective indexes increases (and the portfolio …

Persistent link: https://www.econbiz.de/10010991457

Nonlinearity in ASEAN-5 export-led growth model: Empirical evidence from nonparametric approach

Lim, Shiok Ye; Ho, Chong Mun - In: Economic Modelling 32 (2013) C, pp. 136-145

study, the potential nonlinear long-run and short-run relationships are respectively examined by nonparametric cointegration … test and nonlinear causality test, in ASEAN-5 countries. The nonparametric cointegration results contribute to the …

Persistent link: https://www.econbiz.de/10010664414

Nonlinearity in ASEAN-5 export-led growth model : empirical evidence from nonparametric approach

Lim, Shiok Ye; Ho, Chong Mun - In: Economic modelling 32 (2013), pp. 136-145

Persistent link: https://www.econbiz.de/10009760682