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Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - In: Economics: The Open-Access, Open-Assessment E-Journal 10 (2016) 2016-26, pp. 1-41

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

Persistent link: https://www.econbiz.de/10011555274

Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis

Ahmedov, Zafarbek; Bessler, David A. - 2011

In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...

Persistent link: https://www.econbiz.de/10009445191

Money-Income Relationships between Three ERM Countries

Choudhry, Taufiq - 2002

tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM …

Persistent link: https://www.econbiz.de/10009445749

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

Zhong, Maosen; Darrat, Ali F.; Otero, Rafael - 2004

that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses …

Persistent link: https://www.econbiz.de/10009448857

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …

Persistent link: https://www.econbiz.de/10011500010

Wealth and income inequality in the long run

Lieberknecht, Philipp; Vermeulen, Philip - 2022

saving rate at the top, i.e. the ratio of the saving rate of rich individuals to the aggregate saving rate. The cointegration …

Persistent link: https://www.econbiz.de/10013333564

The NAIRU and the Extent of the Low-Pay Sector

Garz, Marcel - 2010

after the German reunification, cointegration is found between both variables suggesting a slightly positive relationship. …

Persistent link: https://www.econbiz.de/10010460495

Price transmission analysis in the Greek milk market

Reziti, Ioanna - In: SPOUDAI - Journal of Economics and Business 64 (2014) 4, pp. 75-86

confronted by a quite concentrated dairy sector. We apply an error correction model to test for asymmetric behaviour in the … asymmetric in both the short and the long run, implying that retailers exercise market power over producers. …

Persistent link: https://www.econbiz.de/10011725321

Impact of fiscal variables on economic development of Pakistan

Kakar, Zaheer Khan - In: Romanian Journal of Fiscal Policy (RJFP) 2 (2011) 2, pp. 1-10

time series data for the period 1980-2009. Cointegration and error correction techniques are used for this analysis and …

Persistent link: https://www.econbiz.de/10010283044

Transaction duration and asymmetric price impact of trades : evidence from Australia

Yang, Joey Wenling - In: Journal of empirical finance 18 (2011) 1, pp. 91-102

Persistent link: https://www.econbiz.de/10009301172