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Giuli, Francesco; Tancioni, Massimiliano - In: Macroeconomic dynamics 21 (2017) 7, pp. 1752-1789

Persistent link: https://www.econbiz.de/10011805950

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

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

Persistent link: https://www.econbiz.de/10010259626

Shocks and rigidities as determinants of CEE labour markets' performance : a panel SVECM approach

Bukowski, Maciej; Koloch, Grzegorz; Lewandowski, Piotr - In: The economics of transition 21 (2013) 3, pp. 553-581

Persistent link: https://www.econbiz.de/10010234752

Common trends and common cycles : Bayesian approach

Wróblewska, Justyna - In: Central European journal of economic modelling and … 7 (2015) 2, pp. 91-110

Persistent link: https://www.econbiz.de/10011429745

Convergence and long-run uncertainty

Pincheira, Pablo - In: Revista de análisis económico 29 (2014) 1, pp. 17-52

Persistent link: https://www.econbiz.de/10011499611

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

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

Persistent link: https://www.econbiz.de/10011505854

Regime-switching cointegration

Jochmann, Markus; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 35-48

Persistent link: https://www.econbiz.de/10011311202

Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income

Paap, Richard; Dijk, Herman K. van - 1999

expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration … there exist a cointegration relation between US percapita disposable income and consumption, after correction for …

Persistent link: https://www.econbiz.de/10011301165

Analysing monetary policy's transmission mechanisms through effective and expected interest rates : an application of MS-models, Bayesian VAR and cointegration approaches for Brazi...

Moreira, Ricardo Ramalhete; Chaiboonsri, Chukiat; … - In: International journal of monetary economics and finance 7 (2014) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10010531300

Non-linear analysis of the Fisher effect : in the case of Japan

Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 11, pp. 1-9

Persistent link: https://www.econbiz.de/10011764129