, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …

variance-covariance matrix of the vector of asset returns. Extending extant treatments, we develop entropy codependence …

This paper investigates whether codependence restrictions can be uniquely imposed on VAR models via the so …-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated … testing are only possible if the codependence restrictions can be uniquely imposed. Applying the pseudo-structural form, our …

This paper develops a rigorous econometric framework to investigate the structure of codependence between random …

markets by means of a new technique called co-dependence. It uses a set of data for three countries in Asia - India, Pakistan …

This paper develops a rigorous econometric framework to investigate the structure of codependence between random …