A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based...

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...