Migiakis, Petros M.; Bekiris, Fivos V. - In: International review of financial analysis 18 (2009) 4, pp. 198-204
characteristics of the cointegration relation between the bond and equity yields. In this context, this paper's contribution is that … it lifts the restrictions of linearity both in the long-run cointegration relations and in the underlying short …. & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 70, 99 …