This paper presents a novel test of cointegration that is robust to general forms of weak dependence in the innovation sequences and is simple to implement. In contrast to existing procedures, this is achieved without applying corrections to the test statistic for removing the effect of serial...

This study investigates the practical importance of several VaR modeling and forecasting issues in the context of intraday stock returns. Value-at-Risk (VaR) predictions obtained from daily GARCH models extended with additional information such as the realized volatility and squared overnight...

Grounded on the concept of cointegration, this paper develops a novel test of time series convergence between pairs of unit root processes. The test (i) does not require the estimation of the cointegration coeffcient, (ii) is robust to general forms of weak dependence in the transitory...