determining which two stocks can be a pair, Banerjee et al. (1993) shows that the cointegration technique is more ffective than … cointegration error following an AR(1) process. …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

-run equilibrium using Johansen?s test for cointegration. The cointegrated stock pair is then modeled using a Vector Error Correction …

of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …