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Cointegration in continuous time for factor models

Benth, Fred Espen; Süss, Andre - In: Mathematics and financial economics 13 (2019) 1, pp. 87-114

Persistent link: https://www.econbiz.de/10012055754

Time-Variations in Commodity Price Jumps

Diewald, Laszlo - 2019

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic...

Persistent link: https://www.econbiz.de/10012905261

Time-variations in commodity price jumps

Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84

Persistent link: https://www.econbiz.de/10011489343

Stationarity changes in long-run energy commodity prices

Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne - In: Energy economics 59 (2016), pp. 96-103

Persistent link: https://www.econbiz.de/10011699492

A one-factor conditionally linear commodity pricing model under partial information

Kato, Takashi; Sekine, Jun; Yamamoto, Hiromitsu - In: Asia-Pacific financial markets 21 (2014) 2, pp. 151-174

Persistent link: https://www.econbiz.de/10010358423

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test...

Persistent link: https://www.econbiz.de/10012183480

Mixed causal-noncausal autoregressions with exogenous regressors

Hecq, Alain W. J.; Issler, João Victor; Telg, Sean - 2019

Persistent link: https://www.econbiz.de/10012117941

Spectral Analysis of Fractionally Cointegrated Systems

Nielsen, Morten Ørregaard - 2004

Cointegration imposes restrictions on the frequency domain behavior of a time series at the zero-frequency. We derive … integrated of order d with r cointegrating relations, given by the rows of [I_{r};B1], where the cointegration errors are … the gain is the matrix of cointegrating coefficients. Extensions to noncontemporaneous cointegration, seasonal …

Persistent link: https://www.econbiz.de/10014107902

Spectral Analysis of Fractionally Cointegrated Systems

Nielsen, Morten Ørregaard - 2004

Fractional cointegration imposes restrictions on the zero-frequency behavior of a time series. In a multivariate time …

Persistent link: https://www.econbiz.de/10014071207

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022

Persistent link: https://www.econbiz.de/10012816384