Levakova, Marie; Ditlevsen, Susanne Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review. (English) Zbl 07920296 Int. Stat. Rev. 92, No. 2, 160-193 (2024). MSC: 62Mxx 62Pxx 62Jxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Reichold, Karsten A residual-based nonparametric variance ratio no-cointegration test. (English) Zbl 07912370 J. Time Ser. Anal. 45, No. 5, 847-856 (2024). MSC: 62Mxx 62H15 62M10 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Zhou, Bo Semiparametrically optimal cointegration test. (English) Zbl 07908579 J. Econom. 242, No. 2, Article ID 105816, 19 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mei, Ziwei; Shi, Zhentao On LASSO for high dimensional predictive regression. (English) Zbl 07908577 J. Econom. 242, No. 2, Article ID 105809, 19 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Jin, Chunlei; Wang, Qiying Weighted nonlinear regression with nonstationary time series. (English) Zbl 07901863 Stat. Sin. 34, No. 3, 1765-1800 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Pajor, Anna; Wróblewska, Justyna; Kwiatkowski, Łukasz; Osiewalski, Jacek Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models – which is better from a predictive perspective? (English) Zbl 07888876 Int. Stat. Rev. 92, No. 1, 62-86 (2024). MSC: 62Mxx 62Pxx 62Fxx × Cite Format Result Cite Review PDF Full Text: DOI
Lin, Yingqian; Tu, Yundong Functional coefficient cointegration models with Box-Cox transformation. (English) Zbl 07821340 Econ. Lett. 234, Article ID 111472, 5 p. (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Hwang, Jungbin; Valdés, Gonzalo Low frequency cointegrating regression with local to unity regressors and unknown form of serial dependence. (English) Zbl 1531.62151 J. Bus. Econ. Stat. 42, No. 1, 160-173 (2024). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Sin, Chor-yiu; Mi, Zichuan; Ling, Shiqing On a partially non-Stationary vector AR model with vector GARCH noises: estimation and testing. (English) Zbl 07812207 Commun. Math. Res. 40, No. 1, 64-101 (2024). MSC: 62M10 37M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Seo, Won-Ki Functional principal component analysis for cointegrated functional time series. (English) Zbl 07804899 J. Time Ser. Anal. 45, No. 2, 320-330 (2024). MSC: 62Mxx × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Phillips, Peter C. B.; Kheifets, Igor L. High-dimensional IV cointegration estimation and inference. (English) Zbl 07803963 J. Econom. 238, No. 2, Article ID 105622, 20 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Stærk-Østergaard, Jacob; Rahbek, Anders; Ditlevsen, Susanne High-dimensional cointegration and Kuramoto inspired systems. (English) Zbl 1535.37061 SIAM J. Appl. Dyn. Syst. 23, No. 1, 236-255 (2024). MSC: 37H10 34C15 37M05 62M10 62P10 62P20 62H10 62H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Hoyos, Milena A first order continuous time VAR with random coefficients. (English) Zbl 07786779 J. Time Ser. Anal. 45, No. 1, 57-77 (2024). MSC: 62Mxx 60Gxx × Cite Format Result Cite Review PDF Full Text: DOI
De Santis, Gustavo; Salinari, Giambattista What drives population ageing? A cointegration analysis. (English) Zbl 07812037 Stat. Methods Appl. 32, No. 5, 1723-1741 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Brunetti, Marianna; De Luca, Roberta Pre-selection in cointegration-based pairs trading. (English) Zbl 07812033 Stat. Methods Appl. 32, No. 5, 1611-1640 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Guo, Feifei; Ling, Shiqing Inference for the VEC(1) model with a heavy-tailed linear process errors. (English) Zbl 07773937 Econom. Rev. 42, No. 9-10, 806-833 (2023). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Fan, Rui; Lee, Ji Hyung; Shin, Youngki Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach. (English) Zbl 07767730 J. Econom. 237, No. 2, Part C, Article ID 105372, 19 p. (2023). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chan, Ngai Hang; Zhang, Rongmao Cointegration rank estimation for high-dimensional time series with breaks. (English) Zbl 07767603 Stat. Sin. 33, Spec. Iss., 1193-1217 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Eroğlu, Burak Alparslan; Yener, Haluk; Yiğit, Taner Pairs trading with wavelet transform. (English) Zbl 1522.91311 Quant. Finance 23, No. 7-8, 1129-1154 (2023). MSC: 91G60 65T60 91G15 × Cite Format Result Cite Review PDF Full Text: DOI
Dai, Shan; Chan, Ngai Hang Testing of constant parameters for semi-parametric functional coefficient models with integrated covariates. (English) Zbl 07731490 J. Time Ser. Anal. 44, No. 5-6, 474-486 (2023). MSC: 62Mxx 62M10 62G10 × Cite Format Result Cite Review PDF Full Text: DOI
Kato, Kensuke; Nakamura, Nobuhiro Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy. (English) Zbl 1508.91563 Physica A 612, Article ID 128489, 24 p. (2023). MSC: 91G20 91G40 62P05 91G60 65L99 × Cite Format Result Cite Review PDF Full Text: DOI
Phillips, Peter C. B.; Wang, Ying When bias contributes to variance: true limit theory in functional coefficient cointegrating regression. (English) Zbl 1532.62047 J. Econom. 232, No. 2, 469-489 (2023). MSC: 62M10 62P20 60F05 60F17 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kheifets, Igor L.; Phillips, Peter C. B. Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (English) Zbl 07648715 J. Econom. 232, No. 2, 300-319 (2023). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Canepa, Alessandra Small sample adjustment for hypotheses testing on cointegrating vectors. (English) Zbl 07890157 J. Time Ser. Econom. 14, No. 1, 51-85 (2022). MSC: 62M10 62F03 62P20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Pascalau, Razvan; Lee, Junsoo; Nazlioglu, Saban; Lu, Yan Johansen-type cointegration tests with a Fourier function. (English) Zbl 07730967 J. Time Ser. Anal. 43, No. 5, 828-852 (2022). MSC: 62Mxx 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Quineche, Ricardo Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach. (English) Zbl 07681753 Stud. Nonlinear Dyn. Econom. 26, No. 5, 693-703 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Kontana, Dimitra; Fountas, Stilianos Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states. (English) Zbl 07679724 Stud. Nonlinear Dyn. Econom. 26, No. 3, 417-435 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Lixiong Time-varying threshold cointegration with an application to the Fisher hypothesis. (English) Zbl 07679716 Stud. Nonlinear Dyn. Econom. 26, No. 2, 257-274 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Schmidt, Alexander; Schweikert, Karsten Multiple structural breaks in cointegrating regressions: a model selection approach. (English) Zbl 07679715 Stud. Nonlinear Dyn. Econom. 26, No. 2, 219-254 (2022). MSC: 62-XX 91-XX 62E20 62J07 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Andersen, Torben G.; Varneskov, Rasmus T. Testing for parameter instability and structural change in persistent predictive regressions. (English) Zbl 07633044 J. Econom. 231, No. 2, 361-386 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI Link
Casoli, Chiara; Lucchetti, Riccardo Jack Permanent-transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices. (English) Zbl 07626653 Econom. J. 25, No. 2, 494-514 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Martínez-Hernández, Israel; Gonzalo, Jesús; González-Farías, Graciela Nonparametric estimation of functional dynamic factor model. (English) Zbl 07622182 J. Nonparametric Stat. 34, No. 4, 895-916 (2022). MSC: 62G05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Kamber, Kaşal; Dirican, Ahmet Application of time series analysis to clinical data (heart rate (HR), systolic blood pressure (SBP), and diastolic blood pressure (DBP)). (English) Zbl 07607854 İstatistik 14, No. 1, 17-26 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: Link
Guo, Feifei; Ling, Shiqing; Mi, Zichuan Automated estimation of heavy-tailed vector error correction models. (English) Zbl 07601233 Stat. Sin. 32, No. 4, 2171-2198 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Tu, Yundong; Liang, Han-Ying; Wang, Qiying Nonparametric inference for quantile cointegrations with stationary covariates. (English) Zbl 07585124 J. Econom. 230, No. 2, 453-482 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Alsaber, Ahmad R.; Setiya, Parul; Al-Sultan, Ahmad T.; Pan, Jiazhu Exploring the impact of air pollution on COVID-19 admitted cases. Evidence from vector error correction model (VECM) approach in explaining the relationship between air pollutants towards COVID-19 cases in Kuwait. (English) Zbl 07574480 Jpn. J. Stat. Data Sci. 5, No. 1, 379-406 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Sakarya, Neslihan; De Jong, Robert M. The spectral analysis of the hodrick-prescott filter. (English) Zbl 07569203 J. Time Ser. Anal. 43, No. 3, 479-489 (2022). MSC: 62Mxx 42A16 60G35 62M20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
del Barrio Castro, Tomás; Cubadda, Gianluca; Osborn, Denise R. On cointegration for processes integrated at different frequencies. (English) Zbl 07569200 J. Time Ser. Anal. 43, No. 3, 412-435 (2022). MSC: 62Mxx 62M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI Link
Tu, Yundong; Wang, Ying Spurious functional-coefficient regression models and robust inference with marginal integration. (English) Zbl 07557271 J. Econom. 229, No. 2, 396-421 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Ji Hyung; Shi, Zhentao; Gao, Zhan On LASSO for predictive regression. (English) Zbl 07557268 J. Econom. 229, No. 2, 322-349 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bykhovskaya, Anna; Gorin, Vadim Cointegration in large VARs. (English) Zbl 1539.62265 Ann. Stat. 50, No. 3, 1593-1617 (2022). MSC: 62M10 62M07 60B20 62E20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Khan, Asad ul Islam; Khan, Waqar Muhammad; Hussan, Mehmood Most stringent test of null of cointegration: a Monte Carlo comparison. (English) Zbl 1524.62440 Commun. Stat., Simulation Comput. 51, No. 4, 2020-2038 (2022). MSC: 62M10 62M07 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Corona, Francisco; Muriel, Nelson; González-Farías, Graciela Dynamic factor structure of team performances in Liga MX. (English) Zbl 07540766 J. Appl. Stat. 49, No. 7, 1900-1912 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI Link
Kejriwal, Mohitosh; Perron, Pierre; Yu, Xuewen A two-step procedure for testing partial parameter stability in cointegrated regression models. (English) Zbl 1493.62082 J. Time Ser. Anal. 43, No. 2, 219-237 (2022). MSC: 62F03 × Cite Format Result Cite Review PDF Full Text: DOI
Swensen, Anders Rygh On causal and non-causal cointegrated vector autoregressive time series. (English) Zbl 1493.62535 J. Time Ser. Anal. 43, No. 2, 178-196 (2022). MSC: 62M10 62M15 91B84 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Chen, Xiaohong; Xiao, Zhijie; Wang, Bo Copula-based time series with filtered nonstationarity. (English) Zbl 1539.62337 J. Econom. 228, No. 1, 127-155 (2022). MSC: 62P20 62M10 62H05 62H12 91B84 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hartl, Tobias; Jucknewitz, Roland Approximate state space modelling of unobserved fractional components. (English) Zbl 1490.62247 Econom. Rev. 41, No. 1, 75-98 (2022). MSC: 62M10 62M20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yiğit, Taner Time-varying cointegration and the Kalman filter. (English) Zbl 1490.62241 Econom. Rev. 41, No. 1, 1-21 (2022). MSC: 62M10 62P12 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Schweikert, Karsten Oracle efficient estimation of structural breaks in cointegrating regressions. (English) Zbl 1493.62073 J. Time Ser. Anal. 43, No. 1, 83-104 (2022). MSC: 62J07 62E20 62M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Düker, Marie-Christine; Pipiras, Vladas; Sundararajan, Raanju Cotrending: testing for common deterministic trends in varying means model. (English) Zbl 1480.62107 J. Multivariate Anal. 187, Article ID 104825, 21 p. (2022). MSC: 62H15 62G10 62E20 62H25 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Lu, Renjie; Yu, Philip L. H. Buffered vector error-correction models: an application to the U.S. Treasury bond rates. (English) Zbl 07679737 Stud. Nonlinear Dyn. Econom. 25, No. 5, 267-287 (2021). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Martínez Compains, Jorge; Rodríguez Carreño, Ignacio; Gençay, Ramazan; Trani, Tommaso; Ramos Vilardell, Daniel Recovering cointegration via wavelets in the presence of non-linear patterns. (English) Zbl 07679736 Stud. Nonlinear Dyn. Econom. 25, No. 5, 255-265 (2021). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Ali, Sajid; Rehman, Mobeen Ur; Shahzad, Syed Jawad Hussain; Raza, Naveed; Xuan Vinh Vo Financial integration in emerging economies: an application of threshold cointegration. (English) Zbl 07679733 Stud. Nonlinear Dyn. Econom. 25, No. 4, 213-228 (2021). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Masini, Ricardo; Medeiros, Marcelo C. Counterfactual analysis with artificial controls: inference, high dimensions, and nonstationarity. (English) Zbl 1506.62252 J. Am. Stat. Assoc. 116, No. 536, 1773-1788 (2021). MSC: 62D20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Arı, Yakup Using COGARCH-filtered volatility in modelling within ARDL framework. (English) Zbl 07615539 Mercangöz, Burcu Adıgüzel (ed.), Handbook of research on emerging theories, models, and applications of financial econometrics. Cham: Springer. 301-321 (2021). MSC: 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Hepsag, Aycan Testing for cointegration in nonlinear asymmetric smooth transition error correction models. (English) Zbl 1489.62277 Commun. Stat., Simulation Comput. 50, No. 2, 400-412 (2021). MSC: 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Camarero, Mariam; Muñoz, Alejandro; Tamarit, Cecilio 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle. (English) Zbl 1485.91148 Open Econ. Rev. 32, No. 5, 867-905 (2021). MSC: 91B64 62P20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp A comparison of semiparametric tests for fractional cointegration. (English) Zbl 1477.62250 Stat. Pap. 62, No. 4, 1997-2030 (2021). MSC: 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Figá-Talamanca, Gianna; Focardi, Sergio; Patacca, Marco Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages. (English) Zbl 1480.91276 Decis. Econ. Finance 44, No. 2, 863-882 (2021). MSC: 91G15 91G99 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Naccarato, Alessia; Pierini, Andrea; Ferraro, Giovanna Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment. (English) Zbl 1477.62302 Ann. Oper. Res. 299, No. 1-2, 81-99 (2021). MSC: 62P05 62M10 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Owoundi, Ferdinand; Bikai, Jacques Landry On the neutrality of the exchange rate regime regarding real misalignments: evidence from sub-Saharan Africa. (English) Zbl 1471.91335 Bull. Econ. Res. 73, No. 3, 327-345 (2021). MSC: 91B64 × Cite Format Result Cite Review PDF Full Text: DOI
Costola, Michele; Iacopini, Matteo; Santagiustina, Carlo R. M. A. On the “mementum” of meme stocks. (English) Zbl 1471.91531 Econ. Lett. 207, Article ID 110021, 6 p. (2021). MSC: 91G15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
González Olivares, Daniel; Guizar, Isai Estimation of continuous and discrete time co-integrated systems with stock and flow variables. (English) Zbl 1541.62359 J. Time Ser. Econom. 13, No. 2, 145-186 (2021). MSC: 62P20 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Quineche, Ricardo Consumption, aggregate wealth and expected stock returns: an FCVAR approach. (English) Zbl 1541.62378 J. Time Ser. Econom. 13, No. 1, 21-42 (2021). MSC: 62P20 60G22 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Clinet, Simon; Potiron, Yoann Cointegration in high frequency data. (English) Zbl 1472.62134 Electron. J. Stat. 15, No. 1, 1263-1327 (2021). MSC: 62M10 62M07 60G48 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Arnold, Séverine; Glushko, Viktoriya Cause-specific mortality rates: common trends and differences. (English) Zbl 1467.91127 Insur. Math. Econ. 99, 294-308 (2021). MSC: 91G05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Li, Yiyun; Law, Keith K. F. Systematic risk in pairs trading and dynamic parameterization. (English) Zbl 1467.91205 Econ. Lett. 202, Article ID 109842, 6 p. (2021). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI
Aggarwal, Geetu; Aggarwal, Navdeep Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market. (English) Zbl 1467.91156 Asia-Pac. Financ. Mark. 28, No. 1, 79-99 (2021). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Stege, Nikolas; Wegener, Christoph; Basse, Tobias; Kunze, Frederik Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. (English) Zbl 1461.91342 Ann. Oper. Res. 297, No. 1-2, 309-321 (2021). MSC: 91G45 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors. (English) Zbl 1471.62519 J. Econom. 221, No. 2, 455-482 (2021). MSC: 62P20 62M10 62H25 91B84 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yang, Kai; Lee, Lung-fei Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration. (English) Zbl 1471.62547 J. Econom. 221, No. 2, 337-367 (2021). MSC: 62P20 62M10 62M30 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Neto, David Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle. (English) Zbl 1524.62340 Math. Comput. Simul. 179, 253-264 (2021). MSC: 62J07 62R10 91B64 × Cite Format Result Cite Review PDF Full Text: DOI
Franses, Philip Hans Time-varying lag cointegration. (English) Zbl 1460.62199 J. Comput. Appl. Math. 390, Article ID 113272, 7 p. (2021). MSC: 62P20 62M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Lin, Yingqian; Tu, Yundong On transformed linear cointegration models. (English) Zbl 1459.62130 Econ. Lett. 198, Article ID 109686, 7 p. (2021). MSC: 62J02 62F12 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Smeekes, Stephan; Wijler, Etienne An automated approach towards sparse single-equation cointegration modelling. (English) Zbl 1464.62392 J. Econom. 221, No. 1, 247-276 (2021). MSC: 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Trapani, Lorenzo Inferential theory for heterogeneity and cointegration in large panels. (English) Zbl 1464.62397 J. Econom. 220, No. 2, 474-503 (2021). MSC: 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Lu, Renjie; Yu, Philip L. H.; Wang, Xiaohang Sparse vector error correction models with application to cointegration-based trading. (English) Zbl 1521.62160 Aust. N. Z. J. Stat. 62, No. 3, 297-321 (2020). MSC: 62M10 62J07 62F12 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Schweikert, Karsten Testing for cointegration with threshold adjustment in the presence of structural breaks. (English) Zbl 07675516 Stud. Nonlinear Dyn. Econom. 24, No. 1, Article ID 20180034, 28 p. (2020). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI Link
Fasen-Hartmann, Vicky; Scholz, Markus Cointegrated continuous-time linear state-space and MCARMA models. (English) Zbl 1492.60079 Stochastics 92, No. 7, 1064-1099 (2020). MSC: 60F99 91B84 62M10 91G70 62P20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Arsova, Antonia; Örsal, Deniz Dilan Karaman Intersection tests for the cointegrating rank in dependent panel data. (English) Zbl 07552631 Commun. Stat., Simulation Comput. 49, No. 4, 918-941 (2020). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Bapat, Sudeep R. A new correlation for bivariate time series with a higher order of integration. (English) Zbl 1489.62267 Commun. Stat., Simulation Comput. 49, No. 10, 2546-2558 (2020). MSC: 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Hong, Hanwoom; Ahn, Sung K.; Cho, Sinsup Estimation of error correction model with measurement errors. (English) Zbl 07480184 J. Stat. Comput. Simulation 90, No. 9, 1661-1680 (2020). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Feng, Menglu; Chiu, Mei Choi; Wong, Hoi Ying Pairs trading with illiquidity and position limits. (English) Zbl 1476.91148 J. Ind. Manag. Optim. 16, No. 6, 2991-3009 (2020). MSC: 91G10 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Ahmed, Haydory Akbar Monetary base and federal government debt in the long-run: a non-linear analysis. (English) Zbl 1468.91090 Bull. Econ. Res. 72, No. 2, 167-184 (2020). MSC: 91B64 × Cite Format Result Cite Review PDF Full Text: DOI
Ye, Wuyi; Sun, Liping; Miao, Baiqi A study of dynamic cointegration of gold and bitcoin — based on semiparametric MIDAS quantile regression model. (Chinese. English summary) Zbl 1474.91228 J. Syst. Sci. Math. Sci. 40, No. 7, 1270-1285 (2020). MSC: 91G30 62P05 62G08 × Cite Format Result Cite Review PDF
Xie, Qichang; Sun, Qiankun Cointegration test for linear time trend model by quantile regression. (Chinese. English summary) Zbl 1474.62138 Acta Math. Appl. Sin. 43, No. 3, 555-571 (2020). MSC: 62G08 62G10 × Cite Format Result Cite Review PDF
Chiu, Mei Choi Mean-variance equilibrium asset-liability management strategy with cointegrated assets. (English) Zbl 1457.91338 ANZIAM J. 62, No. 2, 209-234 (2020). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Yoshihara, Takeshi; Inoue, Tomoo; Kaizoji, Taisei Time series analysis of relationships among crypto-asset exchange rates. (English) Zbl 1455.91280 Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 139-162 (2020). MSC: 91G99 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; Yao, Wenying High-dimensional predictive regression in the presence of cointegration. (English) Zbl 1464.62515 J. Econom. 219, No. 2, 456-477 (2020). MSC: 62P20 62J05 62J07 62M10 62M20 × Cite Format Result Cite Review PDF Full Text: DOI
Tu, Yundong; Yao, Qiwei; Zhang, Rongmao Error-correction factor models for high-dimensional cointegrated time series. (English) Zbl 1454.62273 Stat. Sin. 30, No. 3, 1463-1484 (2020). Reviewer: Glauber Márcio Silveira Pereira (Ceará) MSC: 62M10 60G18 46N30 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kapetanios, George; Millard, Stephen; Petrova, Katerina; Price, Simon Time-varying cointegration with an application to the UK Great Ratios. (English) Zbl 1451.91144 Econ. Lett. 193, Article ID 109213, 6 p. (2020). MSC: 91B84 91B82 × Cite Format Result Cite Review PDF Full Text: DOI Link
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, David E. Cointegrated dynamics for a generalized long memory process: application to interest rates. (English) Zbl 1494.62024 J. Time Ser. Econom. 12, No. 1, Article ID 20180024, 18 p. (2020). MSC: 62P05 62M10 91G30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Aurélie, Lalanne; Martin, Zumpe From Gibrat’s law to Zipf’s law through cointegration? (English) Zbl 1442.91059 Econ. Lett. 192, Article ID 109211, 2 p. (2020). MSC: 91B62 91D10 × Cite Format Result Cite Review PDF Full Text: DOI
Chambers, Marcus J. Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data. (English) Zbl 1456.62183 J. Econom. 217, No. 1, 140-160 (2020). MSC: 62M10 62M15 62P20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Huang, Wenxin; Jin, Sainan; Su, Liangjun Identifying latent grouped patterns in cointegrated panels. (English) Zbl 1440.62045 Econom. Theory 36, No. 3, 410-456 (2020). MSC: 62D20 62H30 62J07 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Hoyos, Milena Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data. (English) Zbl 1478.62242 J. Time Ser. Anal. 41, No. 2, 249-267 (2020). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 62M09 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Degui; Phillips, Peter C. B.; Gao, Jiti Kernel-based inference in time-varying coefficient cointegrating regression. (English) Zbl 1456.62203 J. Econom. 215, No. 2, 607-632 (2020). MSC: 62M10 62G07 62G20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Jiang, Bibo; Lu, Ye; Park, Joon Y. Testing for stationarity at high frequency. (English) Zbl 1456.62197 J. Econom. 215, No. 2, 341-374 (2020). MSC: 62M10 62M07 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Nielsen, Mikkel Slot On non-stationary solutions to MSDDEs: representations and the cointegration space. (English) Zbl 1435.60026 Stochastic Processes Appl. 130, No. 5, 3154-3173 (2020). MSC: 60H10 60G10 60H05 60G12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lin, Yingqian; Tu, Yundong; Yao, Qiwei Estimation for double-nonlinear cointegration. (English) Zbl 1456.62209 J. Econom. 216, No. 1, 175-191 (2020). MSC: 62M10 62G08 62G20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link