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Disconnection between the Financial Sphere and the Real Sphere: Theoretical Foundations and Empirical Investigation

Ouni, Nizar El; Miled, Faouzi; Lahdhiri, Manelle - In: International Journal of Academic Research in … 4 (2014) 4, pp. 95-103

first to apply the test cointegration between the rate of return on equity and the rate of growth in economic activity real …

Persistent link: https://www.econbiz.de/10011085454

An Investigation of Cointegration and Casualty Relationships between the PIIGS’ Stock Markets

Christopoulos, Apostolos G.; Papathanasiou, Spyros; … - In: European Research Studies Journal XVII (2014) 2, pp. 109-123

also as the PIIGS countries. More specifically, it is examined whether cointegration and causality relationships exists …) among these stock markets is also tested. In case of cointegration relationships between these markets it is proved that …

Persistent link: https://www.econbiz.de/10011085527

Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

Athanasopoulos, George; Poskitt, D.S.; Vahid, Farshid; … - Department of Econometrics and Business Statistics, … - 2014

This article studies a simple, coherent approach for identifying and estimating error correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying...

Persistent link: https://www.econbiz.de/10011085533

Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems

Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004

This paper discusses the joint estimation of the long run equilibrium coe cients and the parameters governing the short run dynamics of a fully parametric cointegrated system formulated in continuous time.The model allows the stationary disturbances to be generated by a stochastic di erential...

Persistent link: https://www.econbiz.de/10011090524

Art and Money

Renneboog, Luc; Goetzmann, W.; Spaenjers, C. - Tilburg University, Center for Economic Research - 2010

prices for art, in line with the results of a numerical simulation analysis. Finally, the results of Johansen cointegration …

Persistent link: https://www.econbiz.de/10011090912

Multiple equilibria in German employment : Simultaneous identification of structural breaks

Belke, A.; Göcke, M. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011091359

Nonparametric cointegration analysis

Bierens, H.J. - Tilburg University, Center for Economic Research - 1995

In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating …

Persistent link: https://www.econbiz.de/10011091794

Industrial localization and countries' specialization in the European Union: An empirical investigation

Krenz, Astrid; Rübel, Gerhard - Center for European, Governance and Economic … - 2010

variables. Furthermore, we test for cointegration between our regression variables. For the EU, results of an error correction …

Persistent link: https://www.econbiz.de/10010980761

Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses

Kühl, Michael - Center for European, Governance and Economic … - 2007

the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …

Persistent link: https://www.econbiz.de/10010980784

Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset

Kühl, Michael - Center for European, Governance and Economic … - 2008

cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …

Persistent link: https://www.econbiz.de/10010980798