This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these stylized facts. AR(1)-GARCH(1,1) and...

The main goal of this paper is to analyze the behavior of the ECM non-cointegration test when there are additive outliers in the time series under different co-breaking situations. We show that the critical values of the usual ECM test are not robust to the presence of transitory shocks and we...

The following paper analyzes the results of empirical controlling research in German-speaking countries from 1990 to 2007 with focus on how far the characteristics of the planning system have an impact on business success. We identify fifteen empirical studies on this subject from which we...

This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Based on a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well approximated by a class of smooth transition...

This paper examines possible nonlinearities in growth rates of nine U.K. macroeconomic time series, namely gross domestic product, price, consumption, retail sales, personal disposable income, savings, investment, industrial production and unemployment, chosen as representative of series...

A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. The new decision rule has better properties than those previously available in the literature when the model is ESTAR and similar properties when the model is...

This paper examines possible nonlinearities in growth rates of nine U.K. macroeconomic time series, namely gross domestic product, price, consumption, retail sales, personal disposable income, savings, investment, industrial production and unemployment, chosen as representative of series...