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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011517008
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Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
Persistent link: https://www.econbiz.de/10012816374
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011583206
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009
regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity …
Persistent link: https://www.econbiz.de/10010290397
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Likelihood inference for a fractionally conitegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968441
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968607
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …
Persistent link: https://www.econbiz.de/10010381431
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
Persistent link: https://www.econbiz.de/10011524104
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Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015
Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …
Persistent link: https://www.econbiz.de/10010464770
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
Persistent link: https://www.econbiz.de/10010394599