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 …

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 …

then generalized to incorporate endogeneity and serial correlation in error terms, under which, we design a Cochrane … for the existence of the threshold effect. Monte Carlo simulations show that our estimators and test statistics perform …

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

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

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …