cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

of financing. -- cointegration ; regime shifts ; US housing bubble ; subprime lending ; bubble indicator …

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …

the link between the gasoline and diesel markets, we assume a common co-integration relationship. Therefore, we also …

maximum canonical correlation between pairs of discrete variables. We also propose a trace canonical correlation test using …

One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC … rather than a dynamic conditional correlation model; (ii) provides the motivation, which is presently missing, for … standardization of the conditional covariance model to obtain the conditional correlation model; and (iii) shows that the appropriate …

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component …

applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight … multivariate FIAPARCH framework is provided in terms of forecast error statistics and tests for equal forecast accuracy of the …