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Cointegration and rolling window cointegration analysis of a selected group of stock market indices
(2015-10)
In order to explore the degree of integration of international stock markets we select a group formed by the most important indices considering their market capitalization and geographical distribution. After testing for ...
Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
(2014-02-17)
Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We ...
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change
(2009-01-26)
This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number ...
Structural breaks, cointegration and the domestic demand for chilean wine
(Universidad de Talca (Chile). Facultad de Ciencias Empresariales., 2004)
To cointegrate or not to cointegrate? That's a topological question
(Escola de Pós-Graduação em Economia da FGV, 1997-10-16)
We show that for any multivariate I( 1) process which does not cointegrate, it is possible to find another process sufficient1y elose to it where cointegration applies. Closeness is defined in terms of the spectral density ...
Introducing Non-Linearity Into CointegrationIntroducing Non-Linearity Into Cointegration
(Sociedade Brasileira de Econometria, 1996)
Long term economic relationships from cointegration maps
(Elsevier B.V., 2007-07-01)
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based ...
Long term economic relationships from cointegration maps
(Elsevier B.V., 2007-07-01)
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based ...
Cointegration: Bayesian Significance Test
(TAYLOR & FRANCIS INCPHILADELPHIA, 2012)
To estimate causal relationships, time series econometricians must be aware of spurious correlation, a problem first mentioned by Yule (1926). To deal with this problem, one can work either with differenced series or ...