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International cause-specific mortality rates : new insights from a cointegration analysis
Arnold-Gaille, Séverine; Sherris, Michael - In: Astin bulletin : the journal of the International … 46 (2016) 1, pp. 9-38
Persistent link: https://www.econbiz.de/10011485128
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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17
cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …
Persistent link: https://www.econbiz.de/10011710948
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A conversation with Katarina Juselius
Jusélius, Katarina (interviewee);  … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21
This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...
Persistent link: https://www.econbiz.de/10013355175
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Co-movements of oil, gold, the US dollar, and stocks
Samanta, Subarna K.; Mohamad-Zadeh, Ali H. - In: Modern economy 3 (2012) 1, pp. 111-117
Persistent link: https://www.econbiz.de/10009710520
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010228330
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An asymptotic invariance property of the common trends under linear transformations of the data
Johansen, Søren; Jusélius, Katarina - In: Journal of econometrics 178 (2014) 1, pp. 310-315
Persistent link: https://www.econbiz.de/10010256144
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Forecasting aggregates and disaggregates with common features
Espasa Terrades, Antoni; Mayo-Burgos, Iván - In: International journal of forecasting 29 (2013) 4, pp. 718-732
Persistent link: https://www.econbiz.de/10010221293
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Driving economic fluctuations in Peru : the role of the terms of trade
Rodriguez, Gabriel; Villanueva Vega, Pierina; Castillo … - In: Empirical economics : a journal of the Institute for … 55 (2018) 3, pp. 1089-1119
Persistent link: https://www.econbiz.de/10011950096
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A general inversion theorem for cointegration
Franchi, Massimo; Paruolo, Paolo - In: Econometric reviews 38 (2019) 10, pp. 1176-1201
Persistent link: https://www.econbiz.de/10012181400
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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …
Persistent link: https://www.econbiz.de/10012171036