Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence of financial markets. We show that if individual stock prices are generated by random walks with possibly contemporaneously correlated innovations, the resulting indices cannot...

In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no...

After controversial public debates, fuel price regulations were implemented in Austria prohibiting fuel retailers from raising their prices more than once per day. This paper investigates whether these policy measures affected the price transmission dynamics from crude oil prices to retail fuel...