Claudio, Pizzi; Isabella, Procidano; Francesca, Parpinel - Society for Computational Economics - SCE - 2006
introduced the idea of hidden cointegration to take into account the asymmetric behaviour of a time series with respect to the … shocks that hit another one. In this work, we present some applications of hidden cointegration in the analysis of some … hidden cointegration relationship. The series were decomposed in their positive and negative components on which we estimated …