drivers of the current financial crisis, if not possibly more. -- Commodity prices ; cointegration ; CVAR analysis ; global …

applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …

. -- Cointegration ; oil market ; futures prices ; price discovery …

national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and … ; cointegration ; vector error-correction models …

-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

rates ; Causality-in-variance ; Cointegration …