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Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … 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 infinite …

Persistent link: https://www.econbiz.de/10010940883

Statistical analysis of global surface air temperature and sea level using cointegration methods

Schmith, Torben; Johansen, Søren; Thejll, Peter - School of Economics and Management, University of Aarhus - 2011

due to the trending nature of the time series. We apply a statistical method called cointegration analysis to observed …

Persistent link: https://www.econbiz.de/10009365640

More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms

Johansen, Søren; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2003

In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.

Persistent link: https://www.econbiz.de/10004980694

Testing Rational Expectations in Vector Autoregressive Models

Johansen, Søren; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 1994

variables is allowed, and the restrictions on the cointegration relationships are spelled out. In some interesting special cases …

Persistent link: https://www.econbiz.de/10004980854

On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations

Johansen, Søren; Swensen, Anders Rygh - Økonomisk Institut, Københavns Universitet - 2009

Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a...

Persistent link: https://www.econbiz.de/10004999759

On a numerical and graphical technique for evaluating some models involving rational expectations

Johansen, Søren; Swensen, Anders Rygh - School of Economics and Management, University of Aarhus - 2009

Persistent link: https://www.econbiz.de/10005051712

Some identification problems in the cointegrated vector autoregressive model

Johansen, Søren - School of Economics and Management, University of Aarhus - 2007

An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on indi- vidual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of alpha and beta when they...

Persistent link: https://www.econbiz.de/10005440045

Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1988

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration … vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration … vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and …

Persistent link: https://www.econbiz.de/10005749557

Some Identification Problems in the Cointegrated Vector Autoregressive Model

Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2007

An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are...

Persistent link: https://www.econbiz.de/10005749805

Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1992

In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is …

Persistent link: https://www.econbiz.de/10005225480