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Bayesian analysis of a fractional cointegration model

Martin, Gael M. - In: Econometric reviews 20 (2001) 2, pp. 217-234

Persistent link: https://www.econbiz.de/10001596591

Long-run trends and cycles in US house prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...

Persistent link: https://www.econbiz.de/10014427184

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …

Persistent link: https://www.econbiz.de/10012171036

Dynamic panel cointegration approaches to the estimation of money demand functions

Jun, Sangjoon - In: Global economic review 33 (2004) 3, pp. 23-42

Persistent link: https://www.econbiz.de/10002652230

Beatlestrap

Palandri, Alessandro - 2019

The bootstrap of test statistics requires the re-estimation of the model's parameters for each bootstrap sample. When parameter estimates are not available in closed form, this procedure becomes computationally demanding as each replication requires the numerical optimization of an objective...

Persistent link: https://www.econbiz.de/10012905998

CVA-VaR

Alavian, Shahram - 2012

Usage of Monte Carlo simulation for pricing requires a well defined and accurate market implied distribution of risk factors. Overlay, on top of these simulated risk factors, one can also generate conditional prices based on the set of underlying risk factors at future time horizons. The ability...

Persistent link: https://www.econbiz.de/10013114643

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Persistent link: https://www.econbiz.de/10009614295

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Cointegration and speed of convergence to equilibrium

Pesaran, M. Hashem; Shin, Yongcheol - 1993

Persistent link: https://www.econbiz.de/10000142724

Systematic sampling and real exchange rates

Sarno, Lucio - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 136 (2000) 1, pp. 24-57

Persistent link: https://www.econbiz.de/10001461995