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Do markets cointegrate after financial crisis? : evidence from G-20 stock markets

Haque, Mahfuzul; Shamsub, Hannarong - In: International Journal of Financial Studies : open … 3 (2015) 4, pp. 557-586

The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four …&P 500 and G-20 stock indices moved towards less cointegration. The decreasing number of cointegrating relationships implies …

Persistent link: https://www.econbiz.de/10011408937

Long-term relationship of KGHM share prices and the market value of high grade copper

Zbyrowski, Rafał - In: Journal of banking and financial economics 20 (2023), pp. 51-62

cointegration analysis. Based on the estimated models, the thesis of the existence of a long-run relationship between the studied …

Persistent link: https://www.econbiz.de/10014515556

Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework

Cuevas, Mario A. - 2004

.1 to 2001.4. The preferred model features seasonal cointegration and was estimated following a structural time series …

Persistent link: https://www.econbiz.de/10014115684

A Panic Attack on Unit Roots and Cointegration

Bai, Jushan; Ng, Serena - 2002

This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components'. PANIC consists of univariate...

Persistent link: https://www.econbiz.de/10014121962

Forecasting Economy with Bayesian Autoregressive Distributed Lag Model : Choosing Optimal Prior in Economic Downturn

Buss, Ginters - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...

Persistent link: https://www.econbiz.de/10013156355

Do Money, Prices, Incomes and Interest Rates Interrelate in the U.S.? A Fractional Cointegrated VAR Approach

Dimitriou, Dimitrios I. - 2013

The paper addresses the empirical application of cointegration analysis to four important macroeconomic variables …

Persistent link: https://www.econbiz.de/10013074059

The Long-Run Causal Relationship between Transport Energy Consumption and GDP : Evidence from Heterogeneous Panel Methods Robust to Cross-Sectional Dependence

Liddle, Brant - 2014

This paper analyzes data from 107 countries, spanning 1971-2009, and grouped into three income-based panels to determine the direction and sign of panel long-run causality between transport energy consumption per capita and real GDP per capita. The methods employed address heterogeneity and (at...

Persistent link: https://www.econbiz.de/10013062591

Learning and Trusting Cointegration in Statistical Arbitrage

Diamond, Richard V. - 2014

The paper offers adaptation of cointegration analysis for statistical arbitrage. Cointegration is a structural … cointegration tests due to their low power; their formulation is incompatible with the GBM process for asset price. However, the …. Appendix B discusses the common issues of equity pairs trading that relies on simple cointegration …

Persistent link: https://www.econbiz.de/10013064530

The Determinants of Crude Oil Prices : Evidence from ARDL and Nonlinear ARDL Approaches

Salem, Leila; Nouira, Ridha; Jeguirim, Khaled; Rault, … - 2022

) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration …

Persistent link: https://www.econbiz.de/10014242432

A Note on the Error Correction Model

Alghalith, Moawia - 2021

Persistent link: https://www.econbiz.de/10013218013