Following Wold (1954), a causal relationship from a vector y of economic variables towards a vector x should be interpreted through a fictive controlled experiment. At least one factor y(i) component of y should have an impact on x when other factors y(j), j≠i, are kept constant. It is...

In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x <Subscript> t </Subscript> and y <Subscript> t </Subscript>, are integrated of order one and cointegrated and v <Subscript> t </Subscript> and w <Subscript> t </Subscript> are integrated of order one but not cointegrated then, under certain conditions, the distance...</subscript></subscript></subscript></subscript>

This paper discusses the joint unpredictability of asset returns on two markets. It provides a necessary condition for joint unpredictability in term of distance between information sets. We conclude that the joint unpredictability requires a condition very strong and so, in this sense, it...