This paper develops a rigorous econometric framework to investigate the structure of codependence between random …

, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated … testing are only possible if the codependence restrictions can be uniquely imposed. Applying the pseudostructural form, our …

following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived … codependence orders and discuss identification. The concept is applied to US and European interest rate data, examining the …

This paper studies the codependence among, and drawdown and drawup properties of, US$ interest rates. The problem is …

codependence methodology. The first one is a recursive estimation of Okun's coefficient, and the second one is a measure of …