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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Journal of econometrics 158 (2010) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013
-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 …
Persistent link: https://www.econbiz.de/10010225789
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013
Persistent link: https://www.econbiz.de/10010206033
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - In: Journal of econometrics 192 (2016) 1, pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
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New insights into the US stock market reactions to energy price shocks
Benkraiem, Ramzi; Lahiani, Amine; Miloudi, Anthony; … - In: Journal of international financial markets, … 56 (2018), pp. 169-187
Persistent link: https://www.econbiz.de/10012305136
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The effect of exchange rate volatility on Pakistan's bilateral exports to major recipients
Alam, Shaista; Ahmed, Qazi Masood; Shahbaz, Muhammad - In: Global business review 19 (2018) 2, pp. 328-341
Persistent link: https://www.econbiz.de/10011860514
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Exchange rate volatility and Pakistan's exports to major markets : a sectoral analysis
Alam, Shaista; Ahmed, Qazi Masood; Shahbaz, Muhammad - In: Global business review 18 (2017) 6, pp. 1507-1519
Persistent link: https://www.econbiz.de/10011800061
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Exchange rate dynamics : where is the saddle path?
Cheung, Yin-Wong; Gardeazabal, Javier; Vázquez, Jesús - 2004
Persistent link: https://www.econbiz.de/10011402689
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Sectoral trends and cycles in Germany
Cheung, Yin-Wong; Westermann, Frank - 2001
, the adjusted data offer a weaker evidence on the cointegration relationship between a) the sectoral output indexes, b …
Persistent link: https://www.econbiz.de/10011398919
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Exchange rates and Markov switching dynamics
Cheung, Yin-Wong; Erlandsson, Ulf G. - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 314-320
Persistent link: https://www.econbiz.de/10003012970