Narrow search
Showing 1 - 10 of 2,912
Cover Image
Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10010324535
Cover Image
Time-varying cointegration and the Kalman filter
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yigit, Taner M. - In: Econometric reviews 41 (2022) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10013167573
Cover Image
Time-varying cointegration and the Kalman filter
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yigit, Taner M. - 2019
Persistent link: https://www.econbiz.de/10012116501
Cover Image
Bubbles and the Weibull distribution : was there an explosive bubble in US stock prices before the global economic crisis?
Yuhn, Ky-hyang; Kim, Sang Bong; Nam, Chu-ha - In: Applied economics 47 (2015) 1/3, pp. 255-271
Persistent link: https://www.econbiz.de/10010463934
Cover Image
Pairs trading and selection methods : is cointegration superior?
Huck, Nicolas; Afawubo, Komiwi - In: Applied economics 47 (2015) 4/6, pp. 599-613
Persistent link: https://www.econbiz.de/10010464739
Cover Image
Arbitrage, market definition and monitoring a time series approach
Burke, Simon P.; Hunter, John - 2012
Persistent link: https://www.econbiz.de/10009664471
Cover Image
Arbitrage, market definition and monitoring : a time series approach
Hunter, John; Burke, Simon P. - In: International journal of applied economics and … 22 (2014) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10010396226
Cover Image
Threshold adjustment in the current account : sustainability for danger zone economies?
Akdoğan, Kurmaş - In: Applied economics letters 21 (2014) 13/15, pp. 1006-1009
Persistent link: https://www.econbiz.de/10010418270
Cover Image
Detecting tranquil and bubble periods in housing markets : a review and application of statistical methods
Nagayasu, Jun - In: Recent econometric techniques for macroeconomic and …, (pp. 79-111). 2021
We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in...
Persistent link: https://www.econbiz.de/10012395374
Cover Image
Local Whittle analysis of stationary unbalanced fractional cointegration systems
Dubois, Florent; Dumitrescu, Elena-Ivona; Truchis, Gilles de - 2019 - Preliminary draft
Persistent link: https://www.econbiz.de/10012242004