This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere … resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility …

-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and … model for volatility, or to assume that the pattern of volatility is common to, or independent across, the vector of series …

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …

Phillips-curve or wage curve-effects. We estimate a dynamic wage equation for the Netherlands using a cointegration approach …