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 PDF BibTeX XML Cite \textit{T. G. Andersen} and \textit{R. T. Varneskov}, J. Econom. 231, No. 2, 361--386 (2022; Zbl 07633044) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Casoli} and \textit{R. J. Lucchetti}, Econom. J. 25, No. 2, 494--514 (2022; Zbl 07626653) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{I. Martínez-Hernández} et al., J. Nonparametric Stat. 34, No. 4, 895--916 (2022; Zbl 07622182) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{K. Kamber} and \textit{A. Dirican}, İstatistik 14, No. 1, 17--26 (2022; Zbl 07607854) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{F. Guo} et al., Stat. Sin. 32, No. 4, 2171--2198 (2022; Zbl 07601233) Full Text: DOI OpenURL
Su, Qingqing; Tu, Lilan; Wang, Xianjia; Rong, Hang Construction and robustness of directed-weighted financial stock networks via meso-scales. (English) Zbl 07592448 Physica A 605, Article ID 127955, 12 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{Q. Su} et al., Physica A 605, Article ID 127955, 12 p. (2022; Zbl 07592448) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Tu} et al., J. Econom. 230, No. 2, 453--482 (2022; Zbl 07585124) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. R. Alsaber} et al., Jpn. J. Stat. Data Sci. 5, No. 1, 379--406 (2022; Zbl 07574480) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. Sakarya} and \textit{R. M. De Jong}, J. Time Ser. Anal. 43, No. 3, 479--489 (2022; Zbl 07569203) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. del Barrio Castro} et al., J. Time Ser. Anal. 43, No. 3, 412--435 (2022; Zbl 07569200) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Tu} and \textit{Y. Wang}, J. Econom. 229, No. 2, 396--421 (2022; Zbl 07557271) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. H. Lee} et al., J. Econom. 229, No. 2, 322--349 (2022; Zbl 07557268) Full Text: DOI arXiv OpenURL
Bykhovskaya, Anna; Gorin, Vadim Cointegration in large VARs. (English) Zbl 07547943 Ann. Stat. 50, No. 3, 1593-1617 (2022). MSC: 62M10 62P20 91B84 62F40 PDF BibTeX XML Cite \textit{A. Bykhovskaya} and \textit{V. Gorin}, Ann. Stat. 50, No. 3, 1593--1617 (2022; Zbl 07547943) Full Text: DOI arXiv OpenURL
Khan, Asad ul Islam; Khan, Waqar Muhammad; Hussan, Mehmood Most stringent test of null of cointegration: a Monte Carlo comparison. (English) Zbl 07545849 Commun. Stat., Simulation Comput. 51, No. 4, 2020-2038 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{A. u. I. Khan} et al., Commun. Stat., Simulation Comput. 51, No. 4, 2020--2038 (2022; Zbl 07545849) Full Text: DOI OpenURL
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: 62Pxx PDF BibTeX XML Cite \textit{F. Corona} et al., J. Appl. Stat. 49, No. 7, 1900--1912 (2022; Zbl 07540766) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Kejriwal} et al., J. Time Ser. Anal. 43, No. 2, 219--237 (2022; Zbl 1493.62082) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. R. Swensen}, J. Time Ser. Anal. 43, No. 2, 178--196 (2022; Zbl 1493.62535) Full Text: DOI OpenURL
Chen, Xiaohong; Xiao, Zhijie; Wang, Bo Copula-based time series with filtered nonstationarity. (English) Zbl 07491180 J. Econom. 228, No. 1, 127-155 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{X. Chen} et al., J. Econom. 228, No. 1, 127--155 (2022; Zbl 07491180) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{T. Hartl} and \textit{R. Jucknewitz}, Econom. Rev. 41, No. 1, 75--98 (2022; Zbl 1490.62247) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{B. A. Eroğlu} et al., Econom. Rev. 41, No. 1, 1--21 (2022; Zbl 1490.62241) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{K. Schweikert}, J. Time Ser. Anal. 43, No. 1, 83--104 (2022; Zbl 1493.62073) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{M.-C. Düker} et al., J. Multivariate Anal. 187, Article ID 104825, 21 p. (2022; Zbl 1480.62107) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Arı}, in: Handbook of research on emerging theories, models, and applications of financial econometrics. Cham: Springer. 301--321 (2021; Zbl 07615539) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. Hepsag}, Commun. Stat., Simulation Comput. 50, No. 2, 400--412 (2021; Zbl 1489.62277) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Camarero} et al., Open Econ. Rev. 32, No. 5, 867--905 (2021; Zbl 1485.91148) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Leschinski} et al., Stat. Pap. 62, No. 4, 1997--2030 (2021; Zbl 1477.62250) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G. Figá-Talamanca} et al., Decis. Econ. Finance 44, No. 2, 863--882 (2021; Zbl 1480.91276) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. Naccarato} et al., Ann. Oper. Res. 299, No. 1--2, 81--99 (2021; Zbl 1477.62302) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{F. Owoundi} and \textit{J. L. Bikai}, Bull. Econ. Res. 73, No. 3, 327--345 (2021; Zbl 1471.91335) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Costola} et al., Econ. Lett. 207, Article ID 110021, 6 p. (2021; Zbl 1471.91531) Full Text: DOI arXiv OpenURL
González Olivares, Daniel; Guizar, Isai Estimation of continuous and discrete time co-integrated systems with stock and flow variables. (English) Zbl 07382386 J. Time Ser. Econom. 13, No. 2, 145-186 (2021). MSC: 62P20 PDF BibTeX XML Cite \textit{D. González Olivares} and \textit{I. Guizar}, J. Time Ser. Econom. 13, No. 2, 145--186 (2021; Zbl 07382386) Full Text: DOI OpenURL
Quineche, Ricardo Consumption, aggregate wealth and expected stock returns: an FCVAR approach. (English) Zbl 07382382 J. Time Ser. Econom. 13, No. 1, 21-42 (2021). MSC: 62P20 PDF BibTeX XML Cite \textit{R. Quineche}, J. Time Ser. Econom. 13, No. 1, 21--42 (2021; Zbl 07382382) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Clinet} and \textit{Y. Potiron}, Electron. J. Stat. 15, No. 1, 1263--1327 (2021; Zbl 1472.62134) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{S. Arnold} and \textit{V. Glushko}, Insur. Math. Econ. 99, 294--308 (2021; Zbl 1467.91127) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Li} and \textit{K. K. F. Law}, Econ. Lett. 202, Article ID 109842, 6 p. (2021; Zbl 1467.91205) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G. Aggarwal} and \textit{N. Aggarwal}, Asia-Pac. Financ. Mark. 28, No. 1, 79--99 (2021; Zbl 1467.91156) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. Stege} et al., Ann. Oper. Res. 297, No. 1--2, 309--321 (2021; Zbl 1461.91342) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Barigozzi} et al., J. Econom. 221, No. 2, 455--482 (2021; Zbl 1471.62519) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{K. Yang} and \textit{L.-f. Lee}, J. Econom. 221, No. 2, 337--367 (2021; Zbl 1471.62547) Full Text: DOI OpenURL
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 07318177 Math. Comput. Simul. 179, 253-264 (2021). MSC: 62Bxx 94Axx 62Cxx 62Fxx 62Axx PDF BibTeX XML Cite \textit{D. Neto}, Math. Comput. Simul. 179, 253--264 (2021; Zbl 07318177) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{P. H. Franses}, J. Comput. Appl. Math. 390, Article ID 113272, 7 p. (2021; Zbl 1460.62199) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Lin} and \textit{Y. Tu}, Econ. Lett. 198, Article ID 109686, 7 p. (2021; Zbl 1459.62130) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Smeekes} and \textit{E. Wijler}, J. Econom. 221, No. 1, 247--276 (2021; Zbl 1464.62392) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{L. Trapani}, J. Econom. 220, No. 2, 474--503 (2021; Zbl 1464.62397) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{V. Fasen-Hartmann} and \textit{M. Scholz}, Stochastics 92, No. 7, 1064--1099 (2020; Zbl 1492.60079) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{A. Arsova} and \textit{D. D. K. Örsal}, Commun. Stat., Simulation Comput. 49, No. 4, 918--941 (2020; Zbl 07552631) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. R. Bapat}, Commun. Stat., Simulation Comput. 49, No. 10, 2546--2558 (2020; Zbl 1489.62267) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Hong} et al., J. Stat. Comput. Simulation 90, No. 9, 1661--1680 (2020; Zbl 07480184) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Feng} et al., J. Ind. Manag. Optim. 16, No. 6, 2991--3009 (2020; Zbl 1476.91148) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. A. Ahmed}, Bull. Econ. Res. 72, No. 2, 167--184 (2020; Zbl 1468.91090) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{W. Ye} et al., J. Syst. Sci. Math. Sci. 40, No. 7, 1270--1285 (2020; Zbl 1474.91228) OpenURL
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 PDF BibTeX XML Cite \textit{Q. Xie} and \textit{Q. Sun}, Acta Math. Appl. Sin. 43, No. 3, 555--571 (2020; Zbl 1474.62138) OpenURL
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 PDF BibTeX XML Cite \textit{M. C. Chiu}, ANZIAM J. 62, No. 2, 209--234 (2020; Zbl 1457.91338) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. Yoshihara} et al., in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 139--162 (2020; Zbl 1455.91280) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. Koo} et al., J. Econom. 219, No. 2, 456--477 (2020; Zbl 1464.62515) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Tu} et al., Stat. Sin. 30, No. 3, 1463--1484 (2020; Zbl 1454.62273) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{G. Kapetanios} et al., Econ. Lett. 193, Article ID 109213, 6 p. (2020; Zbl 1451.91144) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{M. Asai} et al., J. Time Ser. Econom. 12, No. 1, Article ID 20180024, 18 p. (2020; Zbl 1494.62024) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{L. Aurélie} and \textit{Z. Martin}, Econ. Lett. 192, Article ID 109211, 2 p. (2020; Zbl 1442.91059) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. J. Chambers}, J. Econom. 217, No. 1, 140--160 (2020; Zbl 1456.62183) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{W. Huang} et al., Econom. Theory 36, No. 3, 410--456 (2020; Zbl 1440.62045) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Hoyos}, J. Time Ser. Anal. 41, No. 2, 249--267 (2020; Zbl 1478.62242) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{D. Li} et al., J. Econom. 215, No. 2, 607--632 (2020; Zbl 1456.62203) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{B. Jiang} et al., J. Econom. 215, No. 2, 341--374 (2020; Zbl 1456.62197) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. S. Nielsen}, Stochastic Processes Appl. 130, No. 5, 3154--3173 (2020; Zbl 1435.60026) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{Y. Lin} et al., J. Econom. 216, No. 1, 175--191 (2020; Zbl 1456.62209) Full Text: DOI OpenURL
Wang, Qiying; Zhu, Ke On a measure of lack of fit in nonlinear cointegrating regression with endogeneity. (English) Zbl 1444.62089 Stat. Sin. 30, No. 1, 371-396 (2020). MSC: 62J02 62G10 PDF BibTeX XML Cite \textit{Q. Wang} and \textit{K. Zhu}, Stat. Sin. 30, No. 1, 371--396 (2020; Zbl 1444.62089) Full Text: DOI OpenURL
Baek, Changryong; Kechagias, Stefanos; Pipiras, Vladas Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity. (English) Zbl 1437.62193 J. Stat. Plann. Inference 205, 245-268 (2020). MSC: 62H12 62F12 62M10 PDF BibTeX XML Cite \textit{C. Baek} et al., J. Stat. Plann. Inference 205, 245--268 (2020; Zbl 1437.62193) Full Text: DOI OpenURL
She, Rui; Ling, Shiqing Inference in heavy-tailed vector error correction models. (English) Zbl 1456.62216 J. Econom. 214, No. 2, 433-450 (2020). MSC: 62M10 62E20 62P20 PDF BibTeX XML Cite \textit{R. She} and \textit{S. Ling}, J. Econom. 214, No. 2, 433--450 (2020; Zbl 1456.62216) Full Text: DOI OpenURL
Jarner, Søren F.; Jallbjørn, Snorre Pitfalls and merits of cointegration-based mortality models. (English) Zbl 1431.91334 Insur. Math. Econ. 90, 80-93 (2020). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{S. F. Jarner} and \textit{S. Jallbjørn}, Insur. Math. Econ. 90, 80--93 (2020; Zbl 1431.91334) Full Text: DOI OpenURL
Pretis, Felix Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions. (English) Zbl 1456.62265 J. Econom. 214, No. 1, 256-273 (2020). MSC: 62P12 62M10 62P20 86A08 PDF BibTeX XML Cite \textit{F. Pretis}, J. Econom. 214, No. 1, 256--273 (2020; Zbl 1456.62265) Full Text: DOI OpenURL
Bruns, Stephan B.; Csereklyei, Zsuzsanna; Stern, David I. A multicointegration model of global climate change. (English) Zbl 1456.62259 J. Econom. 214, No. 1, 175-197 (2020). MSC: 62P12 62M10 62P20 86A08 PDF BibTeX XML Cite \textit{S. B. Bruns} et al., J. Econom. 214, No. 1, 175--197 (2020; Zbl 1456.62259) Full Text: DOI Link OpenURL
Phillips, Peter C. B.; Leirvik, Thomas; Storelvmo, Trude Econometric estimates of Earth’s transient climate sensitivity. (English) Zbl 1456.62264 J. Econom. 214, No. 1, 6-32 (2020). MSC: 62P12 62M10 62P20 86A08 PDF BibTeX XML Cite \textit{P. C. B. Phillips} et al., J. Econom. 214, No. 1, 6--32 (2020; Zbl 1456.62264) Full Text: DOI Link OpenURL
Chow, Sheung Chi; Vieito, João Paulo; Wong, Wing Keung Do both demand-following and supply-leading theories hold true in developing countries? (English) Zbl 07557053 Physica A 513, 536-554 (2019). MSC: 82-XX PDF BibTeX XML Cite \textit{S. C. Chow} et al., Physica A 513, 536--554 (2019; Zbl 07557053) Full Text: DOI Link OpenURL
Shin, Ji Won; Shin, Dong Wan Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility. (English) Zbl 07551066 Commun. Stat., Simulation Comput. 48, No. 5, 1503-1515 (2019). MSC: 62M10 62M20 PDF BibTeX XML Cite \textit{J. W. Shin} and \textit{D. W. Shin}, Commun. Stat., Simulation Comput. 48, No. 5, 1503--1515 (2019; Zbl 07551066) Full Text: DOI OpenURL
Odaki, Mitsuhiro; Li, Min Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs. (English) Zbl 07529892 Commun. Stat., Theory Methods 48, No. 23, 5839-5849 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Odaki} and \textit{M. Li}, Commun. Stat., Theory Methods 48, No. 23, 5839--5849 (2019; Zbl 07529892) Full Text: DOI OpenURL
Franchi, Massimo; Paruolo, Paolo A general inversion theorem for cointegration. (English) Zbl 1490.62243 Econom. Rev. 38, No. 10, 1176-1201 (2019). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{M. Franchi} and \textit{P. Paruolo}, Econom. Rev. 38, No. 10, 1176--1201 (2019; Zbl 1490.62243) Full Text: DOI OpenURL
Mutl, Jan; Sögner, Leopold Parameter estimation and inference with spatial lags and cointegration. (English) Zbl 1490.62471 Econom. Rev. 38, No. 6, 597-635 (2019). MSC: 62P20 62M10 62P05 PDF BibTeX XML Cite \textit{J. Mutl} and \textit{L. Sögner}, Econom. Rev. 38, No. 6, 597--635 (2019; Zbl 1490.62471) Full Text: DOI OpenURL
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending. (English) Zbl 1490.62232 Econom. Rev. 38, No. 8, 881-898 (2019). MSC: 62M10 62M07 62P20 PDF BibTeX XML Cite \textit{J. L. Carrion-i-Silvestre} and \textit{D. Kim}, Econom. Rev. 38, No. 8, 881--898 (2019; Zbl 1490.62232) Full Text: DOI Link OpenURL
Nielsen, Heino Bohn Estimation bias and bias correction in reduced rank autoregressions. (English) Zbl 1490.62263 Econom. Rev. 38, No. 3, 332-349 (2019). MSC: 62M10 62F40 62P20 91B84 PDF BibTeX XML Cite \textit{H. B. Nielsen}, Econom. Rev. 38, No. 3, 332--349 (2019; Zbl 1490.62263) Full Text: DOI OpenURL
Almuzara, Martín; Amengual, Dante; Sentana, Enrique Normality tests for latent variables. (English) Zbl 1445.62306 Quant. Econ. 10, No. 3, 981-1017 (2019). MSC: 62P20 62F03 PDF BibTeX XML Cite \textit{M. Almuzara} et al., Quant. Econ. 10, No. 3, 981--1017 (2019; Zbl 1445.62306) Full Text: DOI OpenURL
Yue, Haosheng; Yu, Shengchun; Tu, Lilan Construction and analysis of stock interdependent networks based on cointegration. (Chinese. English summary) Zbl 1463.91194 J. Syst. Sci. Math. Sci. 39, No. 5, 790-803 (2019). MSC: 91G45 91G15 PDF BibTeX XML Cite \textit{H. Yue} et al., J. Syst. Sci. Math. Sci. 39, No. 5, 790--803 (2019; Zbl 1463.91194) OpenURL
Wegener, Christoph; Basse, Tobias; Sibbertsen, Philipp; Nguyen, Duc Khuong Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany. (English) Zbl 1434.62241 Ann. Oper. Res. 282, No. 1-2, 407-426 (2019). MSC: 62P20 62M10 91B84 PDF BibTeX XML Cite \textit{C. Wegener} et al., Ann. Oper. Res. 282, No. 1--2, 407--426 (2019; Zbl 1434.62241) Full Text: DOI OpenURL
Fasen-Hartmann, Vicky; Scholz, Markus Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies. (English) Zbl 1434.62095 Electron. J. Stat. 13, No. 2, 5151-5212 (2019). MSC: 62H12 62M10 60F05 PDF BibTeX XML Cite \textit{V. Fasen-Hartmann} and \textit{M. Scholz}, Electron. J. Stat. 13, No. 2, 5151--5212 (2019; Zbl 1434.62095) Full Text: DOI arXiv Euclid OpenURL
Miller, J. Isaac Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data. (English) Zbl 1434.62192 J. Time Ser. Anal. 40, No. 6, 936-950 (2019). MSC: 62M10 60G50 91B76 62P12 PDF BibTeX XML Cite \textit{J. I. Miller}, J. Time Ser. Anal. 40, No. 6, 936--950 (2019; Zbl 1434.62192) Full Text: DOI OpenURL
Götz, Thomas B.; Hecq, Alain W. Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes. (English) Zbl 1477.62369 J. Time Ser. Anal. 40, No. 6, 914-935 (2019). Reviewer: Christopher Policastro (New York) MSC: 62P20 62F03 62M10 62H15 62J05 PDF BibTeX XML Cite \textit{T. B. Götz} and \textit{A. W. Hecq}, J. Time Ser. Anal. 40, No. 6, 914--935 (2019; Zbl 1477.62369) Full Text: DOI OpenURL
Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying Time-consistent mean-variance pairs-trading under regime-switching cointegration. (English) Zbl 1431.91355 SIAM J. Financ. Math. 10, No. 2, 632-665 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 91G80 35Q92 PDF BibTeX XML Cite \textit{K. Chen} et al., SIAM J. Financ. Math. 10, No. 2, 632--665 (2019; Zbl 1431.91355) Full Text: DOI Link OpenURL
Bauer, Dietmar Periodic and seasonal (co-)integration in the state space framework. (English) Zbl 1429.62373 Econ. Lett. 174, 165-168 (2019). MSC: 62M07 62M10 62H12 PDF BibTeX XML Cite \textit{D. Bauer}, Econ. Lett. 174, 165--168 (2019; Zbl 1429.62373) Full Text: DOI OpenURL
Francois, John Nana; Keinsley, Andrew The long-run relationship between public consumption and output in developing countries: evidence from panel data. (English) Zbl 1422.91584 Econ. Lett. 174, 96-99 (2019). MSC: 91B82 62P20 PDF BibTeX XML Cite \textit{J. N. Francois} and \textit{A. Keinsley}, Econ. Lett. 174, 96--99 (2019; Zbl 1422.91584) Full Text: DOI OpenURL
Kapar, Burcu; Olmo, Jose An analysis of price discovery between Bitcoin futures and spot markets. (English) Zbl 1422.91707 Econ. Lett. 174, 62-64 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{B. Kapar} and \textit{J. Olmo}, Econ. Lett. 174, 62--64 (2019; Zbl 1422.91707) Full Text: DOI Link OpenURL
Ma, Guiyuan; Zhu, Song-Ping Optimal investment and consumption under a continuous-time cointegration model with exponential utility. (English) Zbl 1420.91427 Quant. Finance 19, No. 7, 1135-1149 (2019). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{G. Ma} and \textit{S.-P. Zhu}, Quant. Finance 19, No. 7, 1135--1149 (2019; Zbl 1420.91427) Full Text: DOI Link OpenURL
Onatski, Alexei; Wang, Chen Extreme canonical correlations and high-dimensional cointegration analysis. (English) Zbl 1452.62669 J. Econom. 212, No. 1, 307-322 (2019). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{A. Onatski} and \textit{C. Wang}, J. Econom. 212, No. 1, 307--322 (2019; Zbl 1452.62669) Full Text: DOI Link OpenURL
Zhang, Rongmao; Robinson, Peter; Yao, Qiwei Identifying cointegration by eigenanalysis. (English) Zbl 1420.62404 J. Am. Stat. Assoc. 114, No. 526, 916-927 (2019). MSC: 62M10 PDF BibTeX XML Cite \textit{R. Zhang} et al., J. Am. Stat. Assoc. 114, No. 526, 916--927 (2019; Zbl 1420.62404) Full Text: DOI arXiv Link OpenURL
Dickey, David A.; González-Farías, Graciela; Muriel, Nelson Asymptotic analysis of non-periodical cointegration with high seasonals. (English) Zbl 1422.62280 Bol. Soc. Mat. Mex., III. Ser. 25, No. 2, 443-459 (2019). MSC: 62M10 62F03 37M10 62P12 62P10 PDF BibTeX XML Cite \textit{D. A. Dickey} et al., Bol. Soc. Mat. Mex., III. Ser. 25, No. 2, 443--459 (2019; Zbl 1422.62280) Full Text: DOI OpenURL
Wang, Shaoping; Zhao, Qing; Li, Yanglin Testing for no-cointegration under time-varying variance. (English) Zbl 1421.62146 Econ. Lett. 182, 45-49 (2019). MSC: 62P05 62F40 PDF BibTeX XML Cite \textit{S. Wang} et al., Econ. Lett. 182, 45--49 (2019; Zbl 1421.62146) Full Text: DOI OpenURL
Hualde, Javier; Iacone, Fabrizio Fixed bandwidth inference for fractional cointegration. (English) Zbl 1435.62328 J. Time Ser. Anal. 40, No. 4, 544-572 (2019). Reviewer: Oscar Bustos (Córdoba) with Silvia Ojeda MSC: 62M10 26A33 PDF BibTeX XML Cite \textit{J. Hualde} and \textit{F. Iacone}, J. Time Ser. Anal. 40, No. 4, 544--572 (2019; Zbl 1435.62328) Full Text: DOI Link OpenURL
Johansen, Søren; Nielsen, Morten Ørregaard Nonstationary cointegration in the fractionally cointegrated VAR Model. (English) Zbl 1421.62122 J. Time Ser. Anal. 40, No. 4, 519-543 (2019). MSC: 62M10 60G22 62F05 62F12 PDF BibTeX XML Cite \textit{S. Johansen} and \textit{M. Ø. Nielsen}, J. Time Ser. Anal. 40, No. 4, 519--543 (2019; Zbl 1421.62122) Full Text: DOI Link OpenURL
Yazgan, M. Ege; Ozturk, Serda Selin Real exchange rates and the balance of trade: does the J-curve effect really hold? (English) Zbl 1418.91317 Open Econ. Rev. 30, No. 2, 343-373 (2019). MSC: 91B60 91B64 62P20 PDF BibTeX XML Cite \textit{M. E. Yazgan} and \textit{S. S. Ozturk}, Open Econ. Rev. 30, No. 2, 343--373 (2019; Zbl 1418.91317) Full Text: DOI OpenURL
Kurita, Takamitsu Separate cointegration in a VAR system subject to structural breaks. (English) Zbl 1418.62497 Econ. Lett. 179, 19-23 (2019). MSC: 62P20 62M10 62G10 PDF BibTeX XML Cite \textit{T. Kurita}, Econ. Lett. 179, 19--23 (2019; Zbl 1418.62497) Full Text: DOI OpenURL
Eroğlu, Burak Alparslan Wavelet variance ratio cointegration test and wavestrapping. (English) Zbl 1417.62115 J. Multivariate Anal. 171, 298-319 (2019). MSC: 62G10 62M10 65T60 42C40 PDF BibTeX XML Cite \textit{B. A. Eroğlu}, J. Multivariate Anal. 171, 298--319 (2019; Zbl 1417.62115) Full Text: DOI OpenURL