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partialCI : an R package for the analysis of partially cointegrated time series

Clegg, Matthew; Krauss, Christopher; Rende, Jonas - In: Essays on financial time series analysis, (pp. 13-45). 2019

Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and …, but can be modeled with partial cointegration. …

Persistent link: https://www.econbiz.de/10012321317

partialCI: An R package for the analysis of partially cointegrated time series

Clegg, Matthew; Krauss, Christopher; Rende, Jonas - 2017

Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and …, but can be modeled with partial cointegration. …

Persistent link: https://www.econbiz.de/10011598482

Pairs trading with partial cointegration

Clegg, Matthew; Krauss, Christopher - 2016

Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …

Persistent link: https://www.econbiz.de/10011458302

Pairs trading with partial cointegration

Clegg, Matthew; Krauss, Christopher - In: Quantitative finance 18 (2018) 1, pp. 121-138

Persistent link: https://www.econbiz.de/10011905837

Measuring price discovery in the European wheat market using the partial cointegration approach

Vollmer, Teresa; Herwartz, Helmut; Cramon-Taubadel, … - In: European review of agricultural economics 47 (2020) 3, pp. 1173-1200

Persistent link: https://www.econbiz.de/10012257957

Testing for integration and cointegration when time series are observed with noise

Gianfreda, Angelica; Maranzano, Paolo; Parisio, Lucia; … - In: Economic modelling 125 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014463618

A multivariate autoregressive distributed lag unit root test

Sam, Chung Yan; McNown, Robert F.; Soo Khoon Goh; Goh, … - In: Journal for studies in economics and econometrics : SEE 49 (2025) 1, pp. 17-33

Persistent link: https://www.econbiz.de/10015417674

Inflation targeting : new evidence from fractional integration and cointegration

Canarella, Giorgio; Miller, Stephen M. - 2016

Persistent link: https://www.econbiz.de/10011547550

Could the bubble in U.S. house prices have been detected in real time?

Benati, Luca - 2017

I explore whether time-series methods exploiting the long-run equilibrium properties of the housing market might have detected the disequilibrium in U.S. house prices which pre-dated the Great Recession as it was building up. Based on real-time data, I show that a VAR in levels identified as in...

Persistent link: https://www.econbiz.de/10011824294

The recent effects of exchange rate on international trade

Choi, Myoung Shik - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 661-689

Persistent link: https://www.econbiz.de/10011780227