Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …-linear VAR with threshold cointegration based on data from Germany, Japan, UK, and the U.S. Following a traditional comparative … adequate penalty for the complexity of candidate models. -- threshold cointegration ; parametric bootstrap ; model averaging …

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …

Instrument der Geldpolitik suboptimal ist. …

portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …

rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …

with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern … seasonal and non-seasonal cointegration relations among the variables. The response functions of consumption and income show a …

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …