(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 …

limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending the result for I(2) models with …) where asymptotic inference is discussed in detail for one of the cointegration parameters. To illustrate, an empirical …

representation of the full cointegration space is found to facilitate the understanding of the interaction between the goods and the …

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration … vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration … vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and …