This book provides new insights on nonlinear cointegration and error correction models. It seeks to bring together … finance. Even though papers on nonlinear cointegration are numerous a survey can still be made on the topic. This book is …

Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …