December 1993. Second, using various GARCH models to account for heteroskedasticity show that Gaussian models can be misleading …We investigate the consequences of the 1992-1993 EMS crises, which resulted in the widening of the exchange rate bands …

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …

-variance cointegration we actually find cointegration relations between spreads and premia in US data. …

-variance cointegration we actually find cointegration relations between spreads and premia in US data. …

proportional to the integrated variance of excess returns and further propose a cointegration test. Simulating the distribution of … the test statistic we actually find cointegration relations between premia and spreads in US data. The EHT appears to …

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …

interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …

Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation …

interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …

model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction …