uses the concepts of Lyapunov exponents, correlation dimension and other tools to determine the nature of the underlying …

eigenstructure of estimated forward rate correlation matrices. These are shown to be dominated by the semi-parametric or parametric … form that is used in the yield curve model. The spectral decomposition of forward rate correlation - and covariance … used to calibrate the lognormal forward rate model, it is best to use Svensson forward rate correlation matrices. However …

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables.  Small sample quantiles for these wavelet statistics are obtained …

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables.  Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …

The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a …