We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Purpose: The purpose of this paper is to examine the diversification effect of the Korean Ship Investment Fund (KSF) under Markowitz portfolio theory by analyzing short-term and long-term relationships with stocks and bonds. Design/methodology/approach: For this purpose, unit root, correlation...

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...