cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …

for the cointegration rank test are also briefly discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …

for the cointegration rank test are also brie y discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …