central banks should not be overly concerned with short-run volatility of their national exchange rates, given the self …

Binnennachfrage. Eine Analyse der Immobilienmärkte in Deutschland und UK kommt zu dem Ergebnis, dass die langfristigen Gleichgewichte …

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 …

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 …

the emergence of new challenges for the empirical analysis. How to model the increasing volatility and non linear …

, have not explicitly considered time varying volatility in the data. Seo (2007) suggests an estimator of the cointegration …Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets. Demand …-move in the long-run. Hence, when assessing price volatility changes and spillovers in the ethanol industry, one should also …

volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided … the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the … cointegration analysis and proposing some Vector Autoregressive models. Finally, we asses the cointegration between the interbank …

is shown that the nonstationarity of volatility in the regression errors may induce spuriousness of the underlying … nonstationary volatility is present in the errors. Mild nonstationary volatilities do not render the underlying regression spurious …