Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo Large-dimensional dynamic factor models: estimation of impulse-response functions with \(I(1)\) cointegrated factors. (English) Zbl 07327171 J. Econom. 221, No. 2, 455-482 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{M. Barigozzi} et al., J. Econom. 221, No. 2, 455--482 (2021; Zbl 07327171) Full Text: DOI
Yang, Kai; Lee, Lung-fei Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration. (English) Zbl 07327166 J. Econom. 221, No. 2, 337-367 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{K. Yang} and \textit{L.-f. Lee}, J. Econom. 221, No. 2, 337--367 (2021; Zbl 07327166) 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 07318177 Math. Comput. Simul. 179, 253-264 (2021). MSC: 62B 94A 62C 62F 62A PDF BibTeX XML Cite \textit{D. Neto}, Math. Comput. Simul. 179, 253--264 (2021; Zbl 07318177) Full Text: DOI
Franses, Philip Hans Time-varying lag cointegration. (English) Zbl 07309629 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 07309629) Full Text: DOI
Lin, Yingqian; Tu, Yundong On transformed linear cointegration models. (English) Zbl 07308223 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 07308223) Full Text: DOI
Smeekes, Stephan; Wijler, Etienne An automated approach towards sparse single-equation cointegration modelling. (English) Zbl 07306302 J. Econom. 221, No. 1, 247-276 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{S. Smeekes} and \textit{E. Wijler}, J. Econom. 221, No. 1, 247--276 (2021; Zbl 07306302) Full Text: DOI
Trapani, Lorenzo Inferential theory for heterogeneity and cointegration in large panels. (English) Zbl 07306283 J. Econom. 220, No. 2, 474-503 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{L. Trapani}, J. Econom. 220, No. 2, 474--503 (2021; Zbl 07306283) Full Text: DOI
Chiu, Mei Choi Mean-variance equilibrium asset-liability management strategy with cointegrated assets. (English) Zbl 07308716 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 07308716) 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 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
Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; Yao, Wenying High-dimensional predictive regression in the presence of cointegration. (English) Zbl 07306112 J. Econom. 219, No. 2, 456-477 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{B. Koo} et al., J. Econom. 219, No. 2, 456--477 (2020; Zbl 07306112) 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 PDF BibTeX XML Cite \textit{Y. Tu} et al., Stat. Sin. 30, No. 3, 1463--1484 (2020; Zbl 1454.62273) Full Text: DOI
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
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, David E. Cointegrated dynamics for a generalized long memory process: application to interest rates. (English) Zbl 07243380 J. Time Ser. Econom. 12, No. 1, Article ID 20180024, 18 p. (2020). MSC: 62P20 PDF BibTeX XML Cite \textit{M. Asai} et al., J. Time Ser. Econom. 12, No. 1, Article ID 20180024, 18 p. (2020; Zbl 07243380) Full Text: DOI
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
Chambers, Marcus J. Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data. (English) Zbl 07213043 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 07213043) Full Text: DOI
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
Hoyos, Milena Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data. (English) Zbl 07205120 J. Time Ser. Anal. 41, No. 2, 249-267 (2020). MSC: 62M10 37H10 60H15 PDF BibTeX XML Cite \textit{M. Hoyos}, J. Time Ser. Anal. 41, No. 2, 249--267 (2020; Zbl 07205120) Full Text: DOI
Li, Degui; Phillips, Peter C. B.; Gao, Jiti Kernel-based inference in time-varying coefficient cointegrating regression. (English) Zbl 07202739 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 07202739) Full Text: DOI
Jiang, Bibo; Lu, Ye; Park, Joon Y. Testing for stationarity at high frequency. (English) Zbl 07202727 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 07202727) 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 PDF BibTeX XML Cite \textit{M. S. Nielsen}, Stochastic Processes Appl. 130, No. 5, 3154--3173 (2020; Zbl 1435.60026) Full Text: DOI
Lin, Yingqian; Tu, Yundong; Yao, Qiwei Estimation for double-nonlinear cointegration. (English) Zbl 07180797 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 07180797) Full Text: DOI
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
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
She, Rui; Ling, Shiqing Inference in heavy-tailed vector error correction models. (English) Zbl 07165920 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 07165920) Full Text: DOI
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
Pretis, Felix Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions. (English) Zbl 07145358 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 07145358) Full Text: DOI
Bruns, Stephan B.; Csereklyei, Zsuzsanna; Stern, David I. A multicointegration model of global climate change. (English) Zbl 07145355 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 07145355) Full Text: DOI
Phillips, Peter C. B.; Leirvik, Thomas; Storelvmo, Trude Econometric estimates of Earth’s transient climate sensitivity. (English) Zbl 07145347 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 07145347) Full Text: DOI
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
Yue, Haosheng; Yu, Shengchun; Tu, Lilan Construction and analysis of stock interdependent networks based on cointegration. (Chinese. English summary) Zbl 07156473 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 07156473)
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
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 Euclid
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
Götz, Thomas B.; Hecq, Alain W. Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes. (English) Zbl 07140932 J. Time Ser. Anal. 40, No. 6, 914-935 (2019). MSC: 62M 62F03 62H15 62J05 62P20 PDF BibTeX XML Cite \textit{T. B. Götz} and \textit{A. W. Hecq}, J. Time Ser. Anal. 40, No. 6, 914--935 (2019; Zbl 07140932) Full Text: DOI
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Benth, Fred Espen; Süss, Andre Cointegration in continuous time for factor models. (English) Zbl 1411.91446 Math. Financ. Econ. 13, No. 1, 87-114 (2019). MSC: 91B84 91B24 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{A. Süss}, Math. Financ. Econ. 13, No. 1, 87--114 (2019; Zbl 1411.91446) Full Text: DOI
Liang, Chong; Schienle, Melanie Determination of vector error correction models in high dimensions. (English) Zbl 1452.62941 J. Econom. 208, No. 2, 418-441 (2019). MSC: 62P20 62M10 62J07 62P05 62-08 91G20 PDF BibTeX XML Cite \textit{C. Liang} and \textit{M. Schienle}, J. Econom. 208, No. 2, 418--441 (2019; Zbl 1452.62941) Full Text: DOI
Seo, Won-Ki; Beare, Brendan K. Cointegrated linear processes in Bayes Hilbert space. (English) Zbl 1450.62115 Stat. Probab. Lett. 147, 90-95 (2019). MSC: 62M10 60B11 62R10 PDF BibTeX XML Cite \textit{W.-K. Seo} and \textit{B. K. Beare}, Stat. Probab. Lett. 147, 90--95 (2019; Zbl 1450.62115) Full Text: DOI
da Fonseca, Eder Lucio; Alencar, Airlane Pereira; Morettin, Pedro Alberto Time-varying cointegration model using wavelets. (English) Zbl 1407.62310 Stat. Probab. Lett. 145, 260-267 (2019). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{E. L. da Fonseca} et al., Stat. Probab. Lett. 145, 260--267 (2019; Zbl 1407.62310) Full Text: DOI
Long, Aoming; Bi, Xiuchun; Zhang, Shuguang An arbitrage strategy model for ferrous metal futures based on LSTM neural network. (Chinese. English summary) Zbl 1424.91132 J. Univ. Sci. Technol. China 48, No. 2, 125-132 (2018). MSC: 91G20 91-08 PDF BibTeX XML Cite \textit{A. Long} et al., J. Univ. Sci. Technol. China 48, No. 2, 125--132 (2018; Zbl 1424.91132) Full Text: DOI
Chiu, Mei Choi; Wong, Hoi Ying Robust dynamic pairs trading with cointegration. (English) Zbl 07064477 Oper. Res. Lett. 46, No. 2, 225-232 (2018). MSC: 90 PDF BibTeX XML Cite \textit{M. C. Chiu} and \textit{H. Y. Wong}, Oper. Res. Lett. 46, No. 2, 225--232 (2018; Zbl 07064477) Full Text: DOI
Zhang, Rongmao; Chan, Ngai Hang Portmanteau-type tests for unit-root and cointegration. (English) Zbl 1452.62611 J. Econom. 207, No. 2, 307-324 (2018). MSC: 62M07 62M10 62P20 PDF BibTeX XML Cite \textit{R. Zhang} and \textit{N. H. Chan}, J. Econom. 207, No. 2, 307--324 (2018; Zbl 1452.62611) Full Text: DOI
Wang, Qiying; Wu, Dongsheng; Zhu, Ke Model checks for nonlinear cointegrating regression. (English) Zbl 1452.62685 J. Econom. 207, No. 2, 261-284 (2018). MSC: 62M10 62J02 62G10 62M07 62P20 PDF BibTeX XML Cite \textit{Q. Wang} et al., J. Econom. 207, No. 2, 261--284 (2018; Zbl 1452.62685) Full Text: DOI
Yin, Lei; Yu, Chong Multi-stock pairs trading method based on cointegration. (Chinese. English summary) Zbl 1424.91116 J. Hubei Univ., Nat. Sci. 40, No. 4, 323-326, 338 (2018). MSC: 91G10 PDF BibTeX XML Cite \textit{L. Yin} and \textit{C. Yu}, J. Hubei Univ., Nat. Sci. 40, No. 4, 323--326, 338 (2018; Zbl 1424.91116) Full Text: DOI
Hajria, Raja Ben; Khardani, Salah; Raïssi, Hamdi A power comparison between autocorrelation based tests. (English) Zbl 1414.62363 Stat. Probab. Lett. 143, 1-6 (2018). MSC: 62M10 62J20 65C05 PDF BibTeX XML Cite \textit{R. B. Hajria} et al., Stat. Probab. Lett. 143, 1--6 (2018; Zbl 1414.62363) Full Text: DOI
Ren, Yu; Xie, Tian Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach. (English) Zbl 1406.91494 Quant. Finance 18, No. 12, 2101-2112 (2018). MSC: 91G70 PDF BibTeX XML Cite \textit{Y. Ren} and \textit{T. Xie}, Quant. Finance 18, No. 12, 2101--2112 (2018; Zbl 1406.91494) Full Text: DOI
Dahlhaus, Rainer; Kiss, István Z.; Neddermeyer, Jan C. On the relationship between the theory of cointegration and the theory of phase synchronization. (English) Zbl 1403.62222 Stat. Sci. 33, No. 3, 334-357 (2018). MSC: 62P20 62G05 70K05 PDF BibTeX XML Cite \textit{R. Dahlhaus} et al., Stat. Sci. 33, No. 3, 334--357 (2018; Zbl 1403.62222) Full Text: DOI Euclid
Giannellis, Nikolaos; Koukouritakis, Minoas Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates. (English) Zbl 1402.91453 Open Econ. Rev. 29, No. 5, 1123-1151 (2018). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{N. Giannellis} and \textit{M. Koukouritakis}, Open Econ. Rev. 29, No. 5, 1123--1151 (2018; Zbl 1402.91453) Full Text: DOI
Yamada, Yuji; Primbs, James A. Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints. (English) Zbl 1418.91493 Asia-Pac. Financ. Mark. 25, No. 1, 1-21 (2018). MSC: 91G10 62P05 93B40 PDF BibTeX XML Cite \textit{Y. Yamada} and \textit{J. A. Primbs}, Asia-Pac. Financ. Mark. 25, No. 1, 1--21 (2018; Zbl 1418.91493) Full Text: DOI
Johansen, Søren; Nielsen, Morten Ørregaard Testing the CVAR in the fractional CVAR model. (English) Zbl 1402.62200 J. Time Ser. Anal. 39, No. 6, 836-849 (2018). MSC: 62M10 60G22 62F05 PDF BibTeX XML Cite \textit{S. Johansen} and \textit{M. Ø. Nielsen}, J. Time Ser. Anal. 39, No. 6, 836--849 (2018; Zbl 1402.62200) Full Text: DOI
Di Iorio, Francesca; Fachin, Stefano The Prebish-Singer hypothesis in the post-colonial era: evidence from panel cointegration. (English) Zbl 1401.62231 Econ. Lett. 166, 86-89 (2018). MSC: 62P20 62M10 PDF BibTeX XML Cite \textit{F. Di Iorio} and \textit{S. Fachin}, Econ. Lett. 166, 86--89 (2018; Zbl 1401.62231) Full Text: DOI
Onatski, Alexei; Wang, Chen Alternative asymptotics for cointegration tests in large VARs. (English) Zbl 1401.62173 Econometrica 86, No. 4, 1465-1478 (2018). MSC: 62M10 62H15 62E20 PDF BibTeX XML Cite \textit{A. Onatski} and \textit{C. Wang}, Econometrica 86, No. 4, 1465--1478 (2018; Zbl 1401.62173) Full Text: DOI arXiv
Doornik, Jurgen A. Accelerated estimation of switching algorithms: the cointegrated VAR model and other applications. (English) Zbl 1398.65018 Scand. J. Stat. 45, No. 2, 283-300 (2018). MSC: 65C60 62M10 PDF BibTeX XML Cite \textit{J. A. Doornik}, Scand. J. Stat. 45, No. 2, 283--300 (2018; Zbl 1398.65018) Full Text: DOI
Johansen, Søren; Nielsen, Morten Ørregaard The cointegrated vector autoregressive model with general deterministic terms. (English) Zbl 1394.62123 J. Econom. 202, No. 2, 214-229 (2018). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{S. Johansen} and \textit{M. Ø. Nielsen}, J. Econom. 202, No. 2, 214--229 (2018; Zbl 1394.62123) Full Text: DOI
Dong, Chaohua; Gao, Jiti Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity. (English) Zbl 1393.62037 Econom. Theory 34, No. 4, 754-789 (2018). MSC: 62M10 62G08 62G20 PDF BibTeX XML Cite \textit{C. Dong} and \textit{J. Gao}, Econom. Theory 34, No. 4, 754--789 (2018; Zbl 1393.62037) Full Text: DOI
John, Nimitha; Narayana, Balakrishna Cointegration models with non Gaussian GARCH innovations. (English) Zbl 1416.62501 Metron 76, No. 1, 83-98 (2018). MSC: 62M10 62H12 PDF BibTeX XML Cite \textit{N. John} and \textit{B. Narayana}, Metron 76, No. 1, 83--98 (2018; Zbl 1416.62501) Full Text: DOI
Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie A multivariate test against spurious long memory. (English) Zbl 1386.62029 J. Econom. 203, No. 1, 33-49 (2018). MSC: 62M10 62H15 62P20 PDF BibTeX XML Cite \textit{P. Sibbertsen} et al., J. Econom. 203, No. 1, 33--49 (2018; Zbl 1386.62029) Full Text: DOI
Guidolin, Massimo; Pedio, Manuela Essentials of time series for financial applications. (English) Zbl 1418.62005 Amsterdam: Elsevier/Academic Press (ISBN 978-0-12-813409-2/pbk; 978-0-12-813410-8/ebook). xvi, 417 p. (2018). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62-01 91-01 62P05 62M10 62M05 62J05 62H12 91B84 91G70 PDF BibTeX XML Cite \textit{M. Guidolin} and \textit{M. Pedio}, Essentials of time series for financial applications. Amsterdam: Elsevier/Academic Press (2018; Zbl 1418.62005) Full Text: Link
Georgoutsos, Dimitris A.; Kouretas, Georgios P. The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective. (English) Zbl 1412.91155 Open Econ. Rev. 28, No. 5, 989-1010 (2017). MSC: 91B64 PDF BibTeX XML Cite \textit{D. A. Georgoutsos} and \textit{G. P. Kouretas}, Open Econ. Rev. 28, No. 5, 989--1010 (2017; Zbl 1412.91155) Full Text: DOI
Chua, Chew Lian; Suardi, Sandy; Chang, Yuanchen A re-examination of Libor rigging: a time-varying cointegration perspective. (English) Zbl 1402.91827 Quant. Finance 17, No. 9, 1367-1386 (2017). MSC: 91G30 91G40 PDF BibTeX XML Cite \textit{C. L. Chua} et al., Quant. Finance 17, No. 9, 1367--1386 (2017; Zbl 1402.91827) Full Text: DOI
Lintilhac, P. S.; Tourin, A. Model-based pairs trading in the bitcoin markets. (English) Zbl 1402.91715 Quant. Finance 17, No. 5, 703-716 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{P. S. Lintilhac} and \textit{A. Tourin}, Quant. Finance 17, No. 5, 703--716 (2017; Zbl 1402.91715) Full Text: DOI
Clegg, Matthew; Krauss, Christopher Pairs trading with partial cointegration. (English) Zbl 1400.91534 Quant. Finance 17, No. 12, 121-138 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Clegg} and \textit{C. Krauss}, Quant. Finance 17, No. 12, 121--138 (2017; Zbl 1400.91534) Full Text: DOI
Suzuki, Kiyoshi Optimal pair-trading strategy over long/short/square positions – empirical study. (English) Zbl 1400.91655 Quant. Finance 17, No. 12, 97-119 (2017). MSC: 91G60 65C05 91-04 60J60 PDF BibTeX XML Cite \textit{K. Suzuki}, Quant. Finance 17, No. 12, 97--119 (2017; Zbl 1400.91655) Full Text: DOI
Deistler, Manfred; Wagner, Martin Cointegration in singular ARMA models. (English) Zbl 1396.62203 Econ. Lett. 155, 39-42 (2017). MSC: 62M10 PDF BibTeX XML Cite \textit{M. Deistler} and \textit{M. Wagner}, Econ. Lett. 155, 39--42 (2017; Zbl 1396.62203) Full Text: DOI
Leschinski, Christian On the memory of products of long range dependent time series. (English) Zbl 1396.91346 Econ. Lett. 153, 72-76 (2017). MSC: 91B38 62M10 PDF BibTeX XML Cite \textit{C. Leschinski}, Econ. Lett. 153, 72--76 (2017; Zbl 1396.91346) Full Text: DOI
Reed, W. Robert; Smith, Aaron A time series paradox: unit root tests perform poorly when data are cointegrated. (English) Zbl 1396.62217 Econ. Lett. 151, 71-74 (2017). MSC: 62M10 62M07 62B10 PDF BibTeX XML Cite \textit{W. R. Reed} and \textit{A. Smith}, Econ. Lett. 151, 71--74 (2017; Zbl 1396.62217) Full Text: DOI
Boutabba, Mohamed Amine; Lardic, Sandrine EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries. (English) Zbl 1415.91200 Ann. Oper. Res. 255, No. 1-2, 47-61 (2017). MSC: 91B60 91B76 PDF BibTeX XML Cite \textit{M. A. Boutabba} and \textit{S. Lardic}, Ann. Oper. Res. 255, No. 1--2, 47--61 (2017; Zbl 1415.91200) Full Text: DOI
Lips, Johannes Do they still matter? – Impact of fossil fuels on electricity prices in the light of increased renewable generation. (English) Zbl 06835932 J. Time Ser. Econom. 9, No. 2, Article No. 20160018, 30 p. (2017). MSC: 62P20 91B84 PDF BibTeX XML Cite \textit{J. Lips}, J. Time Ser. Econom. 9, No. 2, Article No. 20160018, 30 p. (2017; Zbl 06835932) Full Text: DOI
Bi, Huili; Wang, Qingxue; Zhao, Shengli Influence of fixed assets investment on economic growth. (Chinese. English summary) Zbl 1389.62170 J. Qufu Norm. Univ., Nat. Sci. 43, No. 3, 25-30 (2017). MSC: 62P20 91B62 62H20 62M07 PDF BibTeX XML Cite \textit{H. Bi} et al., J. Qufu Norm. Univ., Nat. Sci. 43, No. 3, 25--30 (2017; Zbl 1389.62170) Full Text: DOI
Singh, Arti Optimal portfolio execution under cointegrated vector autoregressive systems. (English) Zbl 1386.90098 Optimization 66, No. 11, 1931-1951 (2017). MSC: 90C20 90C90 91G10 PDF BibTeX XML Cite \textit{A. Singh}, Optimization 66, No. 11, 1931--1951 (2017; Zbl 1386.90098) Full Text: DOI
Beare, Brendan K.; Seo, Juwon; Seo, Won-Ki Cointegrated linear processes in Hilbert space. (English) Zbl 1416.62477 J. Time Ser. Anal. 38, No. 6, 1010-1027 (2017). MSC: 62M10 PDF BibTeX XML Cite \textit{B. K. Beare} et al., J. Time Ser. Anal. 38, No. 6, 1010--1027 (2017; Zbl 1416.62477) Full Text: DOI
Sandberg, Rickard Sample moments and weak convergence to multivariate stochastic power integrals. (English) Zbl 1384.62295 J. Time Ser. Anal. 38, No. 6, 1000-1009 (2017). Reviewer: Wolfgang Näther (Freiberg) MSC: 62M10 62E20 60J65 62M07 PDF BibTeX XML Cite \textit{R. Sandberg}, J. Time Ser. Anal. 38, No. 6, 1000--1009 (2017; Zbl 1384.62295) Full Text: DOI
Wagner, Martin; Wied, Dominik Consistent monitoring of cointegrating relationships: the US housing market and the subprime crisis. (English) Zbl 1378.62148 J. Time Ser. Anal. 38, No. 6, 960-980 (2017). MSC: 62P20 62F03 62L10 91B84 PDF BibTeX XML Cite \textit{M. Wagner} and \textit{D. Wied}, J. Time Ser. Anal. 38, No. 6, 960--980 (2017; Zbl 1378.62148) Full Text: DOI
Kaur, Kirandeep; Afifa, Umme Testing Wagner’s law in India: a cointegration and causality analysis. (English) Zbl 1377.62212 Commun. Stat., Theory Methods 46, No. 17, 8510-8520 (2017). MSC: 62P20 91B84 PDF BibTeX XML Cite \textit{K. Kaur} and \textit{U. Afifa}, Commun. Stat., Theory Methods 46, No. 17, 8510--8520 (2017; Zbl 1377.62212) Full Text: DOI
Østergaard, Jacob; Rahbek, Anders; Ditlevsen, Susanne Oscillating systems with cointegrated phase processes. (English) Zbl 1381.37108 J. Math. Biol. 75, No. 4, 845-883 (2017). Reviewer: Carlo Laing (Auckland) MSC: 37N25 62M10 92B25 62F03 PDF BibTeX XML Cite \textit{J. Østergaard} et al., J. Math. Biol. 75, No. 4, 845--883 (2017; Zbl 1381.37108) Full Text: DOI
Dong, Chaohua; Gao, Jiti; Tjøstheim, Dag; Yin, Jiying Specification testing for nonlinear multivariate cointegrating regressions. (English) Zbl 1388.62250 J. Econom. 200, No. 1, 104-117 (2017). MSC: 62M10 62G08 62G10 62G20 62E20 PDF BibTeX XML Cite \textit{C. Dong} et al., J. Econom. 200, No. 1, 104--117 (2017; Zbl 1388.62250) Full Text: DOI
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís Testing for panel cointegration using common correlated effects estimators. (English) Zbl 1367.62325 J. Time Ser. Anal. 38, No. 4, 610-636 (2017). MSC: 62P20 91B84 PDF BibTeX XML Cite \textit{A. Banerjee} and \textit{J. L. Carrion-i-Silvestre}, J. Time Ser. Anal. 38, No. 4, 610--636 (2017; Zbl 1367.62325) Full Text: DOI
Salhi, Yahia; Loisel, Stéphane Basis risk modelling: a cointegration-based approach. (English) Zbl 1369.62285 Statistics 51, No. 1, 205-221 (2017). MSC: 62P05 62M10 91B30 91D20 PDF BibTeX XML Cite \textit{Y. Salhi} and \textit{S. Loisel}, Statistics 51, No. 1, 205--221 (2017; Zbl 1369.62285) Full Text: DOI
Sjölander, Pär; Månsson, Kristofer; Shukur, Ghazi Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis. (English) Zbl 1422.62198 Commun. Stat., Simulation Comput. 46, No. 3, 1735-1745 (2017). MSC: 62H15 60H40 62P20 PDF BibTeX XML Cite \textit{P. Sjölander} et al., Commun. Stat., Simulation Comput. 46, No. 3, 1735--1745 (2017; Zbl 1422.62198) Full Text: DOI
Al-Sadoon, Majid M. A unifying theory of tests of rank. (English) Zbl 1452.62614 J. Econom. 199, No. 1, 49-62 (2017). MSC: 62M10 62H15 62E20 62P20 PDF BibTeX XML Cite \textit{M. M. Al-Sadoon}, J. Econom. 199, No. 1, 49--62 (2017; Zbl 1452.62614) Full Text: DOI
Mosconi, Rocco; Paruolo, Paolo Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order. (English) Zbl 1395.62362 J. Econom. 198, No. 2, 271-276 (2017). MSC: 62P20 62M10 PDF BibTeX XML Cite \textit{R. Mosconi} and \textit{P. Paruolo}, J. Econom. 198, No. 2, 271--276 (2017; Zbl 1395.62362) Full Text: DOI
Sjölander, Pär; Månsson, Kristofer; Shukur, Ghazi A new nonlinear asymmetric cointegration approach using error correction models. (English) Zbl 1362.62202 Commun. Stat., Simulation Comput. 46, No. 2, 1661-1668 (2017). MSC: 62P20 62F03 PDF BibTeX XML Cite \textit{P. Sjölander} et al., Commun. Stat., Simulation Comput. 46, No. 2, 1661--1668 (2017; Zbl 1362.62202) Full Text: DOI
Teräsvirta, Timo Sir Clive Granger’s contributions to nonlinear time series and econometrics. (English) Zbl 1380.62015 Eur. J. Pure Appl. Math. 10, No. 1, 104-132 (2017). MSC: 62-03 62P20 62M10 91B84 01A70 PDF BibTeX XML Cite \textit{T. Teräsvirta}, Eur. J. Pure Appl. Math. 10, No. 1, 104--132 (2017; Zbl 1380.62015) Full Text: Link
Ito, Ryoko Long memory and fractional differencing: revisiting Clive W. J. Granger’s contributions and further developments. (English) Zbl 1380.62013 Eur. J. Pure Appl. Math. 10, No. 1, 82-103 (2017). MSC: 62-03 62M10 62M15 62M20 62P20 91B84 01A70 PDF BibTeX XML Cite \textit{R. Ito}, Eur. J. Pure Appl. Math. 10, No. 1, 82--103 (2017; Zbl 1380.62013) Full Text: Link
Castle, Jennifer L.; Hendry, David F. Clive W. J. Granger and cointegration. (English) Zbl 1380.62012 Eur. J. Pure Appl. Math. 10, No. 1, 58-81 (2017). MSC: 62-03 62P20 62M10 01A70 91B84 PDF BibTeX XML Cite \textit{J. L. Castle} and \textit{D. F. Hendry}, Eur. J. Pure Appl. Math. 10, No. 1, 58--81 (2017; Zbl 1380.62012) Full Text: Link
Castle, Jennifer L. (ed.); Hendry, David F. (ed.) Sir Clive W. J. Granger memorial special issue on econometrics: an introduction. (English) Zbl 1358.00115 Eur. J. Pure Appl. Math. 10, No. 1, 1-11 (2017). MSC: 00B15 91-06 91G70 91B84 62M20 60G22 60G25 01A70 PDF BibTeX XML Cite \textit{J. L. Castle} (ed.) and \textit{D. F. Hendry} (ed.), Eur. J. Pure Appl. Math. 10, No. 1, 1--11 (2017; Zbl 1358.00115) Full Text: Link
Christensen, Bent Jesper; Tangsgaard Varneskov, Rasmus Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (English) Zbl 1422.62279 J. Econom. 197, No. 2, 218-244 (2017). MSC: 62M10 60G10 60J10 62M09 91B84 91G70 PDF BibTeX XML Cite \textit{B. J. Christensen} and \textit{R. Tangsgaard Varneskov}, J. Econom. 197, No. 2, 218--244 (2017; Zbl 1422.62279) Full Text: DOI