determinants of enterpriseperformance in Russia, surveyed in this paper, only two firmconclusions can be made. Firstly, more … category performing better, it is newprivate enterprises. The actual situation in Russia on these countsis bad. There is ample …

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

this means that in some regimes, an extreme form of fractional cointegration amongst prices will exist. We define a Markov …

In static single equation cointegration regression models the OLS estimator will have a non-standard distribution …