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Testing the nature of long and short run relationships between spot and future commodity prices in India

Naresh, G.; Thiyagarajan, S.; Mahalakshmi, S.; Shanthi, P. - In: Praj̄nȧn : journal of social and management sciences 42 (2013) 2, pp. 185-199

Persistent link: https://www.econbiz.de/10010223544

A cointegrated commodity pricing model

Nakajima, Katsushi; Ōhashi, Kazuhiko - In: The journal of futures markets 32 (2012) 11, pp. 995-1033

Persistent link: https://www.econbiz.de/10009697818

Chapter 6 Forecasting with VARMA Models

Lütkepohl, Helmut - 2006

Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...

Persistent link: https://www.econbiz.de/10014023700

Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia

Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first …, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides …

Persistent link: https://www.econbiz.de/10013489691

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

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

Persistent link: https://www.econbiz.de/10010259626

The analysis of nonstationary time series using regression, correlation and cointegration

Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally...

Persistent link: https://www.econbiz.de/10009767620

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

Persistent link: https://www.econbiz.de/10010356541

Assessing seasonal asymmetric price transmission in Ghanaian tomato markets with the Johansen estimation method

Ihle, Rico; Amikuzuno, Joseph - 2010

We assess market integration and price transmission of perishable agricultural produce in Sub-Saharan Africa by studying Ghanaian tomato markets which are characterized by pronounced seasonality in production and trade flows. We analyse the tomato markets of Ghana by simultaneously regarding its...

Persistent link: https://www.econbiz.de/10010342911

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …

Persistent link: https://www.econbiz.de/10011499608

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

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

Persistent link: https://www.econbiz.de/10011505854