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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 …

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

High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach

Miao, George J. - In: International journal of economics and finance 6 (2014) 3, pp. 96-110

Persistent link: https://www.econbiz.de/10010339601

Common features in East Asian stock markets : long-term and short-term comovements between China and Korea

Lee, Hahn-shik; Kim, Soo In - In: The Singapore economic review : journal of the Economic … 58 (2013) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10010199698

A covariate residual-based cointegration test applied to the CDS-bond basis

Game, Aaron; Wu, Jason - In: Journal of time series econometrics 5 (2013) 2, pp. 163-192

Persistent link: https://www.econbiz.de/10010225442

Information diffusion and the lead-lag relationship between small and large size portfolios : evidence from an emerging market

Drakos, Anastassios A.; Diamandis, Panayotis F.; … - In: International journal of economics and finance 7 (2015) 11, pp. 25-38

Persistent link: https://www.econbiz.de/10011401093

Canonical correlation analysis in panel vector error correction model performance comparison

Kebłowski, Piotr - In: Central European journal of economic modelling and … 8 (2016) 4, pp. 203-217

Persistent link: https://www.econbiz.de/10011634918

Blaming suicide on NASA and divorce on margarine : the hazard of using cointegration to derive inference on spurious correlation

Moosa, Imad A. - In: Applied economics 49 (2017) 15, pp. 1483-1490

Persistent link: https://www.econbiz.de/10011813612

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Codependent VAR models and the pseudo-structural form

Trenkler, Carsten; Weber, Enzo - 2012

variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio …

Persistent link: https://www.econbiz.de/10011489949

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649