The concept of cointegration that enables the proper statistical analysis of long-run comovements between unit root …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry …

nonstationarity and cointegration in the data and various long-run model specifications are studied in detail. Bayesian empirical …

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …