correction model (VECM) and the vector moving average model (VMA) with quarterly time series data from 1983 to 2000. This study …

European participants whose delivery location in EU. Both Johanson cointegration test andVector Error Cointegration Mechnism … (VECM) are conducted to test long-run and short-run efficiency test for theEuropean spot market and four different futures …

financial sector in the early 1990s, using for the first time, state-of-art multivariate cointegration and vector error … correction models (VECM). From this robust test we find that for the Indian economy over the sample period 1951-1999 money and …

-link forecast generated from a VECM with two cointegrating vectors (KO-GA and GANR prices) outperforms both single-link forecasts …

determining the relationship among markets remains unclear. The cointegration framework, OLS and principal component regressions … are applied in order to investigate the influence of geographical distance on the cointegration relationship between … relation between distance and the elasticity of cointegration. Moreover, the region in which the market is located and a better …

determining the relationship among markets remains unclear. The cointegration framework, OLS and principal component regressions … are applied in order to investigate the influence of geographical distance on the cointegration relationship between … relation between distance and the elasticity of cointegration. Moreover, the region in which the market is located and a better …

This paper investigates the existence of cointegration and causality between the stock market price indices of Thailand … obtained from these two residual-based cointegration tests, potential long-run benefits exist from diversifying the investment …