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Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

Persistent link: https://www.econbiz.de/10010851169

Times Series: Cointegration

Johansen, Søren - School of Economics and Management, University of Aarhus - 2014

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Persistent link: https://www.econbiz.de/10010940882

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014

(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 …

Persistent link: https://www.econbiz.de/10010940883

Statistical analysis of global surface air temperature and sea level using cointegration methods

Schmith, Torben; Johansen, Søren; Thejll, Peter - School of Economics and Management, University of Aarhus - 2011

due to the trending nature of the time series. We apply a statistical method called cointegration analysis to observed …

Persistent link: https://www.econbiz.de/10009365640

Testing for rational bubbles in a co-explosive vector autoregression

Engsted, Tom; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

Persistent link: https://www.econbiz.de/10008550314

On a numerical and graphical technique for evaluating some models involving rational expectations

Johansen, Søren; Swensen, Anders Rygh - School of Economics and Management, University of Aarhus - 2009

Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a...

Persistent link: https://www.econbiz.de/10005051712

Multicointegration in US consumption data

Siliverstovs, Boriss - School of Economics and Management, University of Aarhus

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10005440004

Some identification problems in the cointegrated vector autoregressive model

Johansen, Søren - School of Economics and Management, University of Aarhus - 2007

An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on indi- vidual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of alpha and beta when they...

Persistent link: https://www.econbiz.de/10005440045

A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2007

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is...

Persistent link: https://www.econbiz.de/10005440060

A Simple Test for Spurious Regressions

Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011

The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...

Persistent link: https://www.econbiz.de/10009147394