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Kointegration
Cointegration
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Neto, David
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Krishnakumar, Jayalakshmi
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Computational methods in financial engineering : essays in honour of Manfred Gilli
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ECONIS (ZBW)
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Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship
Neto, David
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
3
,
pp. 909-928
Persistent link: https://www.econbiz.de/10011377316
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2
Testing and estimating time-varying elasticities of Swiss gasoline demand
Neto, David
- In:
Energy economics
34
(
2012
)
6
,
pp. 1755-1762
Persistent link: https://www.econbiz.de/10009687888
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3
The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
Neto, David
- In:
Economics letters
125
(
2014
)
2
,
pp. 208-211
Persistent link: https://www.econbiz.de/10010505390
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4
Penalized leads-and-lags cointegrating regression : a simulation study and two empirical applications
Neto, David
- In:
Empirical economics : a quarterly journal of the …
65
(
2023
)
2
,
pp. 949-971
Persistent link: https://www.econbiz.de/10014329094
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5
Testing uncovered interest rate parity and term structure using multivariate threshold cointegration
Krishnakumar, Jayalakshmi
;
Neto, David
- In:
Computational methods in financial engineering : essays …
,
(pp. 191-210)
.
2008
Persistent link: https://www.econbiz.de/10003669639
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6
Partial cointegration
Krishnakumar, Jayalakshmi
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003598669
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7
Estimation and testing for the cointegration rank in a threshold cointegrated system
Krishnakumar, Jayalakshmi
;
Neto, David
-
2009
Persistent link: https://www.econbiz.de/10003926954
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8
Testing the "inacti on corridor" in a three-regime TVECM
Krishnakumar, Jayalakshmi
;
Neto, David
-
2009
Persistent link: https://www.econbiz.de/10003926955
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9
Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM
Krishnakumar, Jayalakshmi
;
Neto, David
-
2009
Persistent link: https://www.econbiz.de/10003926957
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10
Testing uncovered interest rate parity and term structure using a three-regime threshold unit root VECM : an application to the Swiss "Isle" of interest rates
Krishnakumar, Jayalakshmi
;
Neto, David
- In:
Oxford bulletin of economics and statistics
74
(
2012
)
2
,
pp. 180-202
Persistent link: https://www.econbiz.de/10009526760
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