these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …

of the bubble, the house price evolution is investigated by panel cointegration techniques. Evidence is based on a … dataset for 35 major cities. Cointegration is detected between real house prices and a set of macroeconomic determinants …

cointegration analysis, and then estimate an error-correction model (ECM) for land prices. The panel cointegration analysis reveals …

fractional cointegration analysis. We analyze the degree of tail dependence of the two series finding that this is induced by the …

a cointegration relation exists between the principals prices stock indexes but allowing that the movements towards the … find that the specification is better in nonlinear than linear models and the cointegration relation only appears in four …

Turkish Lira-US Dollar futures contracts traded in Turkish Derivatives Exchanges. Cointegration test are used and an error …

, cointegration, and copula methods - on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the … cointegration and copula methods, we design a computationally efficient 2-step pairs trading strategy. In terms of economic outcomes …, the distance, cointegration, and copula methods show a mean monthly excess return of 91, 85, and 43 bps (38, 33, and 5 bps …

, book value and residual incomes. Using standard cointegration, we find that on 30.61 percent of the sample firms have long …-run relationship. Nevertheless, once fractional cointegration is applied, the evidence of long-run relationship increases to 79 …