This paper studies the main channels through which interest rate normalization has fiscal implications in the United … percent, interest rate normalization leads to a negligible increase in the sovereign default risk of the U.S. federal …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … Composite Average index. The results show that the normalization has little effect on the selection of pairs of cointegrated … stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for the …

, which is shown to be equivalent to a Jeffreys’ prior, has under an orthogonal normalization for the selection of pairs of … ingredients of the Dow Jones Composite Average index. The results show that normalization has little effect on the selection of … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … Composite Average index. The results show that the normalization has little effect on the selection of pairs of cointegrated … stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for the …