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empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …
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A simple manipulation of the cointegrated framework proposed by Lettau and Ludvigson (2001, 2004) allows to demonstrate that temporary fluctuations of the U.S. consumption-wealth ratio predict excess returns on international stock markets. This finding is the reflection of an important common,...
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This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real …. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such … cointegration for forecasting purposes proves particularly useful since the start of the financial crisis …
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