Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random walk and a mean-reverting component. We derive its representation in state space, provide a maximum likelihood based estimation routine, and a suitable likelihood ratio test....

Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and analyzing the dynamics of this volatility. The co-movements in financial markets and financial assets around the globe have recently become the main area of interest of financial...

In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial...

Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios than the original factors and contain all the...

The investment-intensive growth model of the People's Republic of China (PRC) is often viewed as state-driven and ultimately unsustainable. But largely unnoticed, a shift has taken place. This paper examines the changes in investment patterns since 2003 and the potential impact of industrial...

The aim of this research is to develop a profitable high frequency pair trading strategy based on selected stocks of S&P 500. The analysis is performed with co-integration method on the 1-minute high-frequency data covering the period Jan 1, 2010 - Dec 31, 2012. Empirical analysis presented in...

Bias correction, explosive behavior, non-linearity, model selection, persistence, specification testing. - Bias Korrektur, explosives Verhalten, Nichtlinearität, Modellselektion, Persistenz, Spezifikationstests