Kejriwal, Mohitosh; Perron, Pierre; Yu, Xuewen A two-step procedure for testing partial parameter stability in cointegrated regression models. (English) Zbl 07492794 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 07492794) Full Text: DOI OpenURL
Swensen, Anders Rygh On causal and non-causal cointegrated vector autoregressive time series. (English) Zbl 07492792 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 07492792) 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 OpenURL
Hartl, Tobias; Jucknewitz, Roland Approximate state space modelling of unobserved fractional components. (English) Zbl 07486322 Econom. Rev. 41, No. 1, 75-98 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{T. Hartl} and \textit{R. Jucknewitz}, Econom. Rev. 41, No. 1, 75--98 (2022; Zbl 07486322) Full Text: DOI arXiv OpenURL
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yiğit, Taner Time-varying cointegration and the Kalman filter. (English) Zbl 07486319 Econom. Rev. 41, No. 1, 1-21 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{B. A. Eroğlu} et al., Econom. Rev. 41, No. 1, 1--21 (2022; Zbl 07486319) Full Text: DOI OpenURL
Schweikert, Karsten Oracle efficient estimation of structural breaks in cointegrating regressions. (English) Zbl 07476228 J. Time Ser. Anal. 43, No. 1, 83-104 (2022). MSC: 62E20 62M10 91B84 PDF BibTeX XML Cite \textit{K. Schweikert}, J. Time Ser. Anal. 43, No. 1, 83--104 (2022; Zbl 07476228) 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
Camarero, Mariam; Muñoz, Alejandro; Tamarit, Cecilio 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle. (English) Zbl 07502160 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 07502160) 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. Data details. Robustness of empirical results. (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
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 OpenURL
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 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
Franchi, Massimo; Paruolo, Paolo A general inversion theorem for cointegration. (English) Zbl 07484495 Econom. Rev. 38, No. 10, 1176-1201 (2019). MSC: 91-XX PDF BibTeX XML Cite \textit{M. Franchi} and \textit{P. Paruolo}, Econom. Rev. 38, No. 10, 1176--1201 (2019; Zbl 07484495) Full Text: DOI OpenURL
Mutl, Jan; Sögner, Leopold Parameter estimation and inference with spatial lags and cointegration. (English) Zbl 07484482 Econom. Rev. 38, No. 6, 597-635 (2019). MSC: 91-XX PDF BibTeX XML Cite \textit{J. Mutl} and \textit{L. Sögner}, Econom. Rev. 38, No. 6, 597--635 (2019; Zbl 07484482) Full Text: DOI OpenURL
Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending. (English) Zbl 07484470 Econom. Rev. 38, No. 8, 881-898 (2019). MSC: 91-XX PDF BibTeX XML Cite \textit{J. L. Carrion-i-Silvestre} and \textit{D. Kim}, Econom. Rev. 38, No. 8, 881--898 (2019; Zbl 07484470) Full Text: DOI OpenURL
Nielsen, Heino Bohn Estimation bias and bias correction in reduced rank autoregressions. (English) Zbl 07484458 Econom. Rev. 38, No. 3, 332-349 (2019). MSC: 91-XX PDF BibTeX XML Cite \textit{H. B. Nielsen}, Econom. Rev. 38, No. 3, 332--349 (2019; Zbl 07484458) 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
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 arXiv OpenURL
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 Link OpenURL
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 OpenURL
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 OpenURL
Hirukawa, Masayuki; Sakudo, Mari Functional-coefficient cointegration models in the presence of deterministic trends. (English) Zbl 07486302 Econom. Rev. 37, No. 5, 507-533 (2018). MSC: 91-XX PDF BibTeX XML Cite \textit{M. Hirukawa} and \textit{M. Sakudo}, Econom. Rev. 37, No. 5, 507--533 (2018; Zbl 07486302) Full Text: DOI OpenURL
Martins, Luis F. Bootstrap tests for time varying cointegration. (English) Zbl 07486299 Econom. Rev. 37, No. 5, 466-483 (2018). MSC: 91-XX PDF BibTeX XML Cite \textit{L. F. Martins}, Econom. Rev. 37, No. 5, 466--483 (2018; Zbl 07486299) Full Text: DOI OpenURL
Arsova, Antonia; Örsal, Deniz Dilan Karaman Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. (English) Zbl 07484399 Econom. Rev. 37, No. 10, 1033-1050 (2018). MSC: 91-XX PDF BibTeX XML Cite \textit{A. Arsova} and \textit{D. D. K. Örsal}, Econom. Rev. 37, No. 10, 1033--1050 (2018; Zbl 07484399) Full Text: DOI OpenURL
Clegg, Matthew; Krauss, Christopher Pairs trading with partial cointegration. (English) Zbl 1471.91529 Quant. Finance 18, No. 1, 121-138 (2018). MSC: 91G15 PDF BibTeX XML Cite \textit{M. Clegg} and \textit{C. Krauss}, Quant. Finance 18, No. 1, 121--138 (2018; Zbl 1471.91529) Full Text: DOI Link OpenURL
Suzuki, Kiyoshi Optimal pair-trading strategy over long/short/square positions – empirical study. (English) Zbl 1469.91052 Quant. Finance 18, No. 1, 97-119 (2018). MSC: 91G15 60J60 PDF BibTeX XML Cite \textit{K. Suzuki}, Quant. Finance 18, No. 1, 97--119 (2018; Zbl 1469.91052) Full Text: DOI OpenURL
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 OpenURL
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-XX 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 OpenURL
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 OpenURL
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 OpenURL
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 OpenURL
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 OpenURL
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 OpenURL
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 arXiv Euclid OpenURL
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 OpenURL
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 OpenURL
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 Link OpenURL
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 OpenURL
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 OpenURL
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 OpenURL