with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … 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 innite …

the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great …. Second, the linear VAR model is extended to include a smooth transition function in a (monetary) equation and stochastic …

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions … averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR …

pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance … residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …