Hwang, Jungbin; Valdés, Gonzalo Low frequency cointegrating regression with local to unity regressors and unknown form of serial dependence. (English) Zbl 07813836 J. Bus. Econ. Stat. 42, No. 1, 160-173 (2024). MSC: 62P20 PDFBibTeX XMLCite \textit{J. Hwang} and \textit{G. Valdés}, J. Bus. Econ. Stat. 42, No. 1, 160--173 (2024; Zbl 07813836) Full Text: DOI
Sin, Chor-yiu; Mi, Zichuan; Ling, Shiqing On a partially non-Stationary vector AR model with vector GARCH noises: estimation and testing. (English) Zbl 07812207 Commun. Math. Res. 40, No. 1, 64-101 (2024). MSC: 62M10 37M10 91B84 PDFBibTeX XMLCite \textit{C.-y. Sin} et al., Commun. Math. Res. 40, No. 1, 64--101 (2024; Zbl 07812207) Full Text: DOI
Seo, Won-Ki Functional principal component analysis for cointegrated functional time series. (English) Zbl 07804899 J. Time Ser. Anal. 45, No. 2, 320-330 (2024). MSC: 62Mxx PDFBibTeX XMLCite \textit{W.-K. Seo}, J. Time Ser. Anal. 45, No. 2, 320--330 (2024; Zbl 07804899) Full Text: DOI arXiv OA License
Phillips, Peter C. B.; Kheifets, Igor L. High-dimensional IV cointegration estimation and inference. (English) Zbl 07803963 J. Econom. 238, No. 2, Article ID 105622, 20 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{P. C. B. Phillips} and \textit{I. L. Kheifets}, J. Econom. 238, No. 2, Article ID 105622, 20 p. (2024; Zbl 07803963) Full Text: DOI
Stærk-Østergaard, Jacob; Rahbek, Anders; Ditlevsen, Susanne High-dimensional cointegration and Kuramoto inspired systems. (English) Zbl 07796520 SIAM J. Appl. Dyn. Syst. 23, No. 1, 236-255 (2024). MSC: 37H10 62M10 62P10 62P20 62H10 62H15 PDFBibTeX XMLCite \textit{J. Stærk-Østergaard} et al., SIAM J. Appl. Dyn. Syst. 23, No. 1, 236--255 (2024; Zbl 07796520) Full Text: DOI arXiv OA License
Hoyos, Milena A first order continuous time VAR with random coefficients. (English) Zbl 07786779 J. Time Ser. Anal. 45, No. 1, 57-77 (2024). MSC: 62Mxx 60Gxx PDFBibTeX XMLCite \textit{M. Hoyos}, J. Time Ser. Anal. 45, No. 1, 57--77 (2024; Zbl 07786779) Full Text: DOI
De Santis, Gustavo; Salinari, Giambattista What drives population ageing? A cointegration analysis. (English) Zbl 07812037 Stat. Methods Appl. 32, No. 5, 1723-1741 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{G. De Santis} and \textit{G. Salinari}, Stat. Methods Appl. 32, No. 5, 1723--1741 (2023; Zbl 07812037) Full Text: DOI OA License
Brunetti, Marianna; De Luca, Roberta Pre-selection in cointegration-based pairs trading. (English) Zbl 07812033 Stat. Methods Appl. 32, No. 5, 1611-1640 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Brunetti} and \textit{R. De Luca}, Stat. Methods Appl. 32, No. 5, 1611--1640 (2023; Zbl 07812033) Full Text: DOI OA License
Guo, Feifei; Ling, Shiqing Inference for the VEC(1) model with a heavy-tailed linear process errors. (English) Zbl 07773937 Econom. Rev. 42, No. 9-10, 806-833 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{F. Guo} and \textit{S. Ling}, Econom. Rev. 42, No. 9--10, 806--833 (2023; Zbl 07773937) Full Text: DOI
Fan, Rui; Lee, Ji Hyung; Shin, Youngki Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach. (English) Zbl 07767730 J. Econom. 237, No. 2, Part C, Article ID 105372, 19 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Fan} et al., J. Econom. 237, No. 2, Part C, Article ID 105372, 19 p. (2023; Zbl 07767730) Full Text: DOI arXiv
Chan, Ngai Hang; Zhang, Rongmao Cointegration rank estimation for high-dimensional time series with breaks. (English) Zbl 07767603 Stat. Sin. 33, Spec. Iss., 1193-1217 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{N. H. Chan} and \textit{R. Zhang}, Stat. Sin. 33, 1193--1217 (2023; Zbl 07767603) Full Text: DOI
Eroğlu, Burak Alparslan; Yener, Haluk; Yiğit, Taner Pairs trading with wavelet transform. (English) Zbl 1522.91311 Quant. Finance 23, No. 7-8, 1129-1154 (2023). MSC: 91G60 65T60 91G15 PDFBibTeX XMLCite \textit{B. A. Eroğlu} et al., Quant. Finance 23, No. 7--8, 1129--1154 (2023; Zbl 1522.91311) Full Text: DOI
Dai, Shan; Chan, Ngai Hang Testing of constant parameters for semi-parametric functional coefficient models with integrated covariates. (English) Zbl 07731490 J. Time Ser. Anal. 44, No. 5-6, 474-486 (2023). MSC: 62Mxx 62M10 62G10 PDFBibTeX XMLCite \textit{S. Dai} and \textit{N. H. Chan}, J. Time Ser. Anal. 44, No. 5--6, 474--486 (2023; Zbl 07731490) Full Text: DOI
Kato, Kensuke; Nakamura, Nobuhiro Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy. (English) Zbl 1508.91563 Physica A 612, Article ID 128489, 24 p. (2023). MSC: 91G20 91G40 62P05 91G60 65L99 PDFBibTeX XMLCite \textit{K. Kato} and \textit{N. Nakamura}, Physica A 612, Article ID 128489, 24 p. (2023; Zbl 1508.91563) Full Text: DOI
Phillips, Peter C. B.; Wang, Ying When bias contributes to variance: true limit theory in functional coefficient cointegrating regression. (English) Zbl 07648722 J. Econom. 232, No. 2, 469-489 (2023). MSC: 62M10 62P20 60F05 60F17 PDFBibTeX XMLCite \textit{P. C. B. Phillips} and \textit{Y. Wang}, J. Econom. 232, No. 2, 469--489 (2023; Zbl 07648722) Full Text: DOI
Kheifets, Igor L.; Phillips, Peter C. B. Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (English) Zbl 07648715 J. Econom. 232, No. 2, 300-319 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{I. L. Kheifets} and \textit{P. C. B. Phillips}, J. Econom. 232, No. 2, 300--319 (2023; Zbl 07648715) Full Text: DOI arXiv
Pascalau, Razvan; Lee, Junsoo; Nazlioglu, Saban; Lu, Yan Johansen-type cointegration tests with a Fourier function. (English) Zbl 07730967 J. Time Ser. Anal. 43, No. 5, 828-852 (2022). MSC: 62Mxx 62-XX PDFBibTeX XMLCite \textit{R. Pascalau} et al., J. Time Ser. Anal. 43, No. 5, 828--852 (2022; Zbl 07730967) Full Text: DOI
Quineche, Ricardo Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach. (English) Zbl 07681753 Stud. Nonlinear Dyn. Econom. 26, No. 5, 693-703 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Quineche}, Stud. Nonlinear Dyn. Econom. 26, No. 5, 693--703 (2022; Zbl 07681753) Full Text: DOI
Kontana, Dimitra; Fountas, Stilianos Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states. (English) Zbl 07679724 Stud. Nonlinear Dyn. Econom. 26, No. 3, 417-435 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. Kontana} and \textit{S. Fountas}, Stud. Nonlinear Dyn. Econom. 26, No. 3, 417--435 (2022; Zbl 07679724) Full Text: DOI
Yang, Lixiong Time-varying threshold cointegration with an application to the Fisher hypothesis. (English) Zbl 07679716 Stud. Nonlinear Dyn. Econom. 26, No. 2, 257-274 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{L. Yang}, Stud. Nonlinear Dyn. Econom. 26, No. 2, 257--274 (2022; Zbl 07679716) Full Text: DOI
Schmidt, Alexander; Schweikert, Karsten Multiple structural breaks in cointegrating regressions: a model selection approach. (English) Zbl 07679715 Stud. Nonlinear Dyn. Econom. 26, No. 2, 219-254 (2022). MSC: 62-XX 91-XX 62E20 62J07 91B84 PDFBibTeX XMLCite \textit{A. Schmidt} and \textit{K. Schweikert}, Stud. Nonlinear Dyn. Econom. 26, No. 2, 219--254 (2022; Zbl 07679715) Full Text: DOI
Andersen, Torben G.; Varneskov, Rasmus T. Testing for parameter instability and structural change in persistent predictive regressions. (English) Zbl 07633044 J. Econom. 231, No. 2, 361-386 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{T. G. Andersen} and \textit{R. T. Varneskov}, J. Econom. 231, No. 2, 361--386 (2022; Zbl 07633044) Full Text: DOI
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 PDFBibTeX XMLCite \textit{C. Casoli} and \textit{R. J. Lucchetti}, Econom. J. 25, No. 2, 494--514 (2022; Zbl 07626653) Full Text: DOI
Martínez-Hernández, Israel; Gonzalo, Jesús; González-Farías, Graciela Nonparametric estimation of functional dynamic factor model. (English) Zbl 07622182 J. Nonparametric Stat. 34, No. 4, 895-916 (2022). MSC: 62G05 PDFBibTeX XMLCite \textit{I. Martínez-Hernández} et al., J. Nonparametric Stat. 34, No. 4, 895--916 (2022; Zbl 07622182) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{K. Kamber} and \textit{A. Dirican}, İstatistik 14, No. 1, 17--26 (2022; Zbl 07607854) Full Text: Link
Guo, Feifei; Ling, Shiqing; Mi, Zichuan Automated estimation of heavy-tailed vector error correction models. (English) Zbl 07601233 Stat. Sin. 32, No. 4, 2171-2198 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{F. Guo} et al., Stat. Sin. 32, No. 4, 2171--2198 (2022; Zbl 07601233) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Q. Su} et al., Physica A 605, Article ID 127955, 12 p. (2022; Zbl 07592448) Full Text: DOI
Tu, Yundong; Liang, Han-Ying; Wang, Qiying Nonparametric inference for quantile cointegrations with stationary covariates. (English) Zbl 07585124 J. Econom. 230, No. 2, 453-482 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Tu} et al., J. Econom. 230, No. 2, 453--482 (2022; Zbl 07585124) Full Text: DOI
Alsaber, Ahmad R.; Setiya, Parul; Al-Sultan, Ahmad T.; Pan, Jiazhu Exploring the impact of air pollution on COVID-19 admitted cases. Evidence from vector error correction model (VECM) approach in explaining the relationship between air pollutants towards COVID-19 cases in Kuwait. (English) Zbl 07574480 Jpn. J. Stat. Data Sci. 5, No. 1, 379-406 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{A. R. Alsaber} et al., Jpn. J. Stat. Data Sci. 5, No. 1, 379--406 (2022; Zbl 07574480) Full Text: DOI
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 PDFBibTeX XMLCite \textit{N. Sakarya} and \textit{R. M. De Jong}, J. Time Ser. Anal. 43, No. 3, 479--489 (2022; Zbl 07569203) Full Text: DOI
del Barrio Castro, Tomás; Cubadda, Gianluca; Osborn, Denise R. On cointegration for processes integrated at different frequencies. (English) Zbl 07569200 J. Time Ser. Anal. 43, No. 3, 412-435 (2022). MSC: 62Mxx 62M10 91B84 PDFBibTeX XMLCite \textit{T. del Barrio Castro} et al., J. Time Ser. Anal. 43, No. 3, 412--435 (2022; Zbl 07569200) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y. Tu} and \textit{Y. Wang}, J. Econom. 229, No. 2, 396--421 (2022; Zbl 07557271) Full Text: DOI
Lee, Ji Hyung; Shi, Zhentao; Gao, Zhan On LASSO for predictive regression. (English) Zbl 07557268 J. Econom. 229, No. 2, 322-349 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. H. Lee} et al., J. Econom. 229, No. 2, 322--349 (2022; Zbl 07557268) Full Text: DOI arXiv
Bykhovskaya, Anna; Gorin, Vadim Cointegration in large VARs. (English) Zbl 07547943 Ann. Stat. 50, No. 3, 1593-1617 (2022). MSC: 62M10 62P20 91B84 62F40 PDFBibTeX XMLCite \textit{A. Bykhovskaya} and \textit{V. Gorin}, Ann. Stat. 50, No. 3, 1593--1617 (2022; Zbl 07547943) Full Text: DOI arXiv
Khan, Asad ul Islam; Khan, Waqar Muhammad; Hussan, Mehmood Most stringent test of null of cointegration: a Monte Carlo comparison. (English) Zbl 1524.62440 Commun. Stat., Simulation Comput. 51, No. 4, 2020-2038 (2022). MSC: 62M10 62M07 62P20 PDFBibTeX XMLCite \textit{A. u. I. Khan} et al., Commun. Stat., Simulation Comput. 51, No. 4, 2020--2038 (2022; Zbl 1524.62440) Full Text: DOI
Corona, Francisco; Muriel, Nelson; González-Farías, Graciela Dynamic factor structure of team performances in Liga MX. (English) Zbl 07540766 J. Appl. Stat. 49, No. 7, 1900-1912 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{F. Corona} et al., J. Appl. Stat. 49, No. 7, 1900--1912 (2022; Zbl 07540766) Full Text: DOI
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 PDFBibTeX XMLCite \textit{M. Kejriwal} et al., J. Time Ser. Anal. 43, No. 2, 219--237 (2022; Zbl 1493.62082) Full Text: DOI
Swensen, Anders Rygh On causal and non-causal cointegrated vector autoregressive time series. (English) Zbl 1493.62535 J. Time Ser. Anal. 43, No. 2, 178-196 (2022). MSC: 62M10 62M15 91B84 PDFBibTeX XMLCite \textit{A. R. Swensen}, J. Time Ser. Anal. 43, No. 2, 178--196 (2022; Zbl 1493.62535) Full Text: DOI
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 PDFBibTeX XMLCite \textit{X. Chen} et al., J. Econom. 228, No. 1, 127--155 (2022; Zbl 07491180) Full Text: DOI Link
Hartl, Tobias; Jucknewitz, Roland Approximate state space modelling of unobserved fractional components. (English) Zbl 1490.62247 Econom. Rev. 41, No. 1, 75-98 (2022). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{T. Hartl} and \textit{R. Jucknewitz}, Econom. Rev. 41, No. 1, 75--98 (2022; Zbl 1490.62247) Full Text: DOI arXiv
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yiğit, Taner Time-varying cointegration and the Kalman filter. (English) Zbl 1490.62241 Econom. Rev. 41, No. 1, 1-21 (2022). MSC: 62M10 62P12 62P20 PDFBibTeX XMLCite \textit{B. A. Eroğlu} et al., Econom. Rev. 41, No. 1, 1--21 (2022; Zbl 1490.62241) Full Text: DOI Link
Schweikert, Karsten Oracle efficient estimation of structural breaks in cointegrating regressions. (English) Zbl 1493.62073 J. Time Ser. Anal. 43, No. 1, 83-104 (2022). MSC: 62J07 62E20 62M10 91B84 PDFBibTeX XMLCite \textit{K. Schweikert}, J. Time Ser. Anal. 43, No. 1, 83--104 (2022; Zbl 1493.62073) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{M.-C. Düker} et al., J. Multivariate Anal. 187, Article ID 104825, 21 p. (2022; Zbl 1480.62107) Full Text: DOI
Lu, Renjie; Yu, Philip L. H. Buffered vector error-correction models: an application to the U.S. Treasury bond rates. (English) Zbl 07679737 Stud. Nonlinear Dyn. Econom. 25, No. 5, 267-287 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{R. Lu} and \textit{P. L. H. Yu}, Stud. Nonlinear Dyn. Econom. 25, No. 5, 267--287 (2021; Zbl 07679737) Full Text: DOI
Martínez Compains, Jorge; Rodríguez Carreño, Ignacio; Gençay, Ramazan; Trani, Tommaso; Ramos Vilardell, Daniel Recovering cointegration via wavelets in the presence of non-linear patterns. (English) Zbl 07679736 Stud. Nonlinear Dyn. Econom. 25, No. 5, 255-265 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Martínez Compains} et al., Stud. Nonlinear Dyn. Econom. 25, No. 5, 255--265 (2021; Zbl 07679736) Full Text: DOI
Ali, Sajid; Rehman, Mobeen Ur; Shahzad, Syed Jawad Hussain; Raza, Naveed; Xuan Vinh Vo Financial integration in emerging economies: an application of threshold cointegration. (English) Zbl 07679733 Stud. Nonlinear Dyn. Econom. 25, No. 4, 213-228 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Ali} et al., Stud. Nonlinear Dyn. Econom. 25, No. 4, 213--228 (2021; Zbl 07679733) Full Text: DOI
Masini, Ricardo; Medeiros, Marcelo C. Counterfactual analysis with artificial controls: inference, high dimensions, and nonstationarity. (English) Zbl 1506.62252 J. Am. Stat. Assoc. 116, No. 536, 1773-1788 (2021). MSC: 62D20 62P20 PDFBibTeX XMLCite \textit{R. Masini} and \textit{M. C. Medeiros}, J. Am. Stat. Assoc. 116, No. 536, 1773--1788 (2021; Zbl 1506.62252) Full Text: DOI
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 PDFBibTeX XMLCite \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
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 PDFBibTeX XMLCite \textit{A. Hepsag}, Commun. Stat., Simulation Comput. 50, No. 2, 400--412 (2021; Zbl 1489.62277) Full Text: DOI
Camarero, Mariam; Muñoz, Alejandro; Tamarit, Cecilio 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle. (English) Zbl 1485.91148 Open Econ. Rev. 32, No. 5, 867-905 (2021). MSC: 91B64 62P20 PDFBibTeX XMLCite \textit{M. Camarero} et al., Open Econ. Rev. 32, No. 5, 867--905 (2021; Zbl 1485.91148) Full Text: DOI
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 PDFBibTeX XMLCite \textit{C. Leschinski} et al., Stat. Pap. 62, No. 4, 1997--2030 (2021; Zbl 1477.62250) Full Text: DOI
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 PDFBibTeX XMLCite \textit{G. Figá-Talamanca} et al., Decis. Econ. Finance 44, No. 2, 863--882 (2021; Zbl 1480.91276) Full Text: DOI
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 PDFBibTeX XMLCite \textit{A. Naccarato} et al., Ann. Oper. Res. 299, No. 1--2, 81--99 (2021; Zbl 1477.62302) Full Text: DOI
Owoundi, Ferdinand; Bikai, Jacques Landry On the neutrality of the exchange rate regime regarding real misalignments: evidence from sub-Saharan Africa. (English) Zbl 1471.91335 Bull. Econ. Res. 73, No. 3, 327-345 (2021). MSC: 91B64 PDFBibTeX XMLCite \textit{F. Owoundi} and \textit{J. L. Bikai}, Bull. Econ. Res. 73, No. 3, 327--345 (2021; Zbl 1471.91335) Full Text: DOI
Costola, Michele; Iacopini, Matteo; Santagiustina, Carlo R. M. A. On the “mementum” of meme stocks. (English) Zbl 1471.91531 Econ. Lett. 207, Article ID 110021, 6 p. (2021). MSC: 91G15 PDFBibTeX XMLCite \textit{M. Costola} et al., Econ. Lett. 207, Article ID 110021, 6 p. (2021; Zbl 1471.91531) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{D. González Olivares} and \textit{I. Guizar}, J. Time Ser. Econom. 13, No. 2, 145--186 (2021; Zbl 07382386) Full Text: DOI
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 PDFBibTeX XMLCite \textit{R. Quineche}, J. Time Ser. Econom. 13, No. 1, 21--42 (2021; Zbl 07382382) Full Text: DOI
Clinet, Simon; Potiron, Yoann Cointegration in high frequency data. (English) Zbl 1472.62134 Electron. J. Stat. 15, No. 1, 1263-1327 (2021). MSC: 62M10 62M07 60G48 62P05 PDFBibTeX XMLCite \textit{S. Clinet} and \textit{Y. Potiron}, Electron. J. Stat. 15, No. 1, 1263--1327 (2021; Zbl 1472.62134) Full Text: DOI arXiv
Arnold, Séverine; Glushko, Viktoriya Cause-specific mortality rates: common trends and differences. (English) Zbl 1467.91127 Insur. Math. Econ. 99, 294-308 (2021). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{S. Arnold} and \textit{V. Glushko}, Insur. Math. Econ. 99, 294--308 (2021; Zbl 1467.91127) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y. Li} and \textit{K. K. F. Law}, Econ. Lett. 202, Article ID 109842, 6 p. (2021; Zbl 1467.91205) Full Text: DOI
Aggarwal, Geetu; Aggarwal, Navdeep Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market. (English) Zbl 1467.91156 Asia-Pac. Financ. Mark. 28, No. 1, 79-99 (2021). MSC: 91G10 PDFBibTeX XMLCite \textit{G. Aggarwal} and \textit{N. Aggarwal}, Asia-Pac. Financ. Mark. 28, No. 1, 79--99 (2021; Zbl 1467.91156) Full Text: DOI
Stege, Nikolas; Wegener, Christoph; Basse, Tobias; Kunze, Frederik Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. (English) Zbl 1461.91342 Ann. Oper. Res. 297, No. 1-2, 309-321 (2021). MSC: 91G45 91G30 PDFBibTeX XMLCite \textit{N. Stege} et al., Ann. Oper. Res. 297, No. 1--2, 309--321 (2021; Zbl 1461.91342) Full Text: DOI
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors. (English) Zbl 1471.62519 J. Econom. 221, No. 2, 455-482 (2021). MSC: 62P20 62M10 62H25 91B84 PDFBibTeX XMLCite \textit{M. Barigozzi} et al., J. Econom. 221, No. 2, 455--482 (2021; Zbl 1471.62519) Full Text: DOI arXiv
Yang, Kai; Lee, Lung-fei Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration. (English) Zbl 1471.62547 J. Econom. 221, No. 2, 337-367 (2021). MSC: 62P20 62M10 62M30 62F12 PDFBibTeX XMLCite \textit{K. Yang} and \textit{L.-f. Lee}, J. Econom. 221, No. 2, 337--367 (2021; Zbl 1471.62547) Full Text: DOI
Neto, David Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle. (English) Zbl 1524.62340 Math. Comput. Simul. 179, 253-264 (2021). MSC: 62J07 62R10 91B64 PDFBibTeX XMLCite \textit{D. Neto}, Math. Comput. Simul. 179, 253--264 (2021; Zbl 1524.62340) Full Text: DOI
Franses, Philip Hans Time-varying lag cointegration. (English) Zbl 1460.62199 J. Comput. Appl. Math. 390, Article ID 113272, 7 p. (2021). MSC: 62P20 62M10 91B84 PDFBibTeX XMLCite \textit{P. H. Franses}, J. Comput. Appl. Math. 390, Article ID 113272, 7 p. (2021; Zbl 1460.62199) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y. Lin} and \textit{Y. Tu}, Econ. Lett. 198, Article ID 109686, 7 p. (2021; Zbl 1459.62130) Full Text: DOI
Smeekes, Stephan; Wijler, Etienne An automated approach towards sparse single-equation cointegration modelling. (English) Zbl 1464.62392 J. Econom. 221, No. 1, 247-276 (2021). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{S. Smeekes} and \textit{E. Wijler}, J. Econom. 221, No. 1, 247--276 (2021; Zbl 1464.62392) Full Text: DOI arXiv
Trapani, Lorenzo Inferential theory for heterogeneity and cointegration in large panels. (English) Zbl 1464.62397 J. Econom. 220, No. 2, 474-503 (2021). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{L. Trapani}, J. Econom. 220, No. 2, 474--503 (2021; Zbl 1464.62397) Full Text: DOI
Lu, Renjie; Yu, Philip L. H.; Wang, Xiaohang Sparse vector error correction models with application to cointegration-based trading. (English) Zbl 1521.62160 Aust. N. Z. J. Stat. 62, No. 3, 297-321 (2020). MSC: 62M10 62J07 62F12 62P05 PDFBibTeX XMLCite \textit{R. Lu} et al., Aust. N. Z. J. Stat. 62, No. 3, 297--321 (2020; Zbl 1521.62160) Full Text: DOI
Schweikert, Karsten Testing for cointegration with threshold adjustment in the presence of structural breaks. (English) Zbl 07675516 Stud. Nonlinear Dyn. Econom. 24, No. 1, Article ID 20180034, 28 p. (2020). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. Schweikert}, Stud. Nonlinear Dyn. Econom. 24, No. 1, Article ID 20180034, 28 p. (2020; Zbl 07675516) Full Text: DOI
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 PDFBibTeX XMLCite \textit{V. Fasen-Hartmann} and \textit{M. Scholz}, Stochastics 92, No. 7, 1064--1099 (2020; Zbl 1492.60079) Full Text: DOI arXiv
Arsova, Antonia; Örsal, Deniz Dilan Karaman Intersection tests for the cointegrating rank in dependent panel data. (English) Zbl 07552631 Commun. Stat., Simulation Comput. 49, No. 4, 918-941 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Arsova} and \textit{D. D. K. Örsal}, Commun. Stat., Simulation Comput. 49, No. 4, 918--941 (2020; Zbl 07552631) Full Text: DOI
Bapat, Sudeep R. A new correlation for bivariate time series with a higher order of integration. (English) Zbl 1489.62267 Commun. Stat., Simulation Comput. 49, No. 10, 2546-2558 (2020). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{S. R. Bapat}, Commun. Stat., Simulation Comput. 49, No. 10, 2546--2558 (2020; Zbl 1489.62267) Full Text: DOI
Hong, Hanwoom; Ahn, Sung K.; Cho, Sinsup Estimation of error correction model with measurement errors. (English) Zbl 07480184 J. Stat. Comput. Simulation 90, No. 9, 1661-1680 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{H. Hong} et al., J. Stat. Comput. Simulation 90, No. 9, 1661--1680 (2020; Zbl 07480184) Full Text: DOI
Feng, Menglu; Chiu, Mei Choi; Wong, Hoi Ying Pairs trading with illiquidity and position limits. (English) Zbl 1476.91148 J. Ind. Manag. Optim. 16, No. 6, 2991-3009 (2020). MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{M. Feng} et al., J. Ind. Manag. Optim. 16, No. 6, 2991--3009 (2020; Zbl 1476.91148) Full Text: DOI
Ahmed, Haydory Akbar Monetary base and federal government debt in the long-run: a non-linear analysis. (English) Zbl 1468.91090 Bull. Econ. Res. 72, No. 2, 167-184 (2020). MSC: 91B64 PDFBibTeX XMLCite \textit{H. A. Ahmed}, Bull. Econ. Res. 72, No. 2, 167--184 (2020; Zbl 1468.91090) Full Text: DOI
Ye, Wuyi; Sun, Liping; Miao, Baiqi A study of dynamic cointegration of gold and bitcoin — based on semiparametric MIDAS quantile regression model. (Chinese. English summary) Zbl 1474.91228 J. Syst. Sci. Math. Sci. 40, No. 7, 1270-1285 (2020). MSC: 91G30 62P05 62G08 PDFBibTeX XMLCite \textit{W. Ye} et al., J. Syst. Sci. Math. Sci. 40, No. 7, 1270--1285 (2020; Zbl 1474.91228)
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 PDFBibTeX XMLCite \textit{Q. Xie} and \textit{Q. Sun}, Acta Math. Appl. Sin. 43, No. 3, 555--571 (2020; Zbl 1474.62138)
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 PDFBibTeX XMLCite \textit{M. C. Chiu}, ANZIAM J. 62, No. 2, 209--234 (2020; Zbl 1457.91338) 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 PDFBibTeX XMLCite \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 1464.62515 J. Econom. 219, No. 2, 456-477 (2020). MSC: 62P20 62J05 62J07 62M10 62M20 PDFBibTeX XMLCite \textit{B. Koo} et al., J. Econom. 219, No. 2, 456--477 (2020; Zbl 1464.62515) 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 PDFBibTeX XMLCite \textit{Y. Tu} et al., Stat. Sin. 30, No. 3, 1463--1484 (2020; Zbl 1454.62273) Full Text: DOI Link
Kapetanios, George; Millard, Stephen; Petrova, Katerina; Price, Simon Time-varying cointegration with an application to the UK Great Ratios. (English) Zbl 1451.91144 Econ. Lett. 193, Article ID 109213, 6 p. (2020). MSC: 91B84 91B82 PDFBibTeX XMLCite \textit{G. Kapetanios} et al., Econ. Lett. 193, Article ID 109213, 6 p. (2020; Zbl 1451.91144) Full Text: DOI Link
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, David E. Cointegrated dynamics for a generalized long memory process: application to interest rates. (English) Zbl 1494.62024 J. Time Ser. Econom. 12, No. 1, Article ID 20180024, 18 p. (2020). MSC: 62P05 62M10 91G30 PDFBibTeX XMLCite \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
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 PDFBibTeX XMLCite \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 1456.62183 J. Econom. 217, No. 1, 140-160 (2020). MSC: 62M10 62M15 62P20 PDFBibTeX XMLCite \textit{M. J. Chambers}, J. Econom. 217, No. 1, 140--160 (2020; Zbl 1456.62183) 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 PDFBibTeX XMLCite \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 1478.62242 J. Time Ser. Anal. 41, No. 2, 249-267 (2020). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 62M09 60H10 PDFBibTeX XMLCite \textit{M. Hoyos}, J. Time Ser. Anal. 41, No. 2, 249--267 (2020; Zbl 1478.62242) Full Text: DOI
Li, Degui; Phillips, Peter C. B.; Gao, Jiti Kernel-based inference in time-varying coefficient cointegrating regression. (English) Zbl 1456.62203 J. Econom. 215, No. 2, 607-632 (2020). MSC: 62M10 62G07 62G20 62P20 PDFBibTeX XMLCite \textit{D. Li} et al., J. Econom. 215, No. 2, 607--632 (2020; Zbl 1456.62203) Full Text: DOI Link
Jiang, Bibo; Lu, Ye; Park, Joon Y. Testing for stationarity at high frequency. (English) Zbl 1456.62197 J. Econom. 215, No. 2, 341-374 (2020). MSC: 62M10 62M07 62P20 PDFBibTeX XMLCite \textit{B. Jiang} et al., J. Econom. 215, No. 2, 341--374 (2020; Zbl 1456.62197) 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 PDFBibTeX XMLCite \textit{M. S. Nielsen}, Stochastic Processes Appl. 130, No. 5, 3154--3173 (2020; Zbl 1435.60026) Full Text: DOI arXiv
Lin, Yingqian; Tu, Yundong; Yao, Qiwei Estimation for double-nonlinear cointegration. (English) Zbl 1456.62209 J. Econom. 216, No. 1, 175-191 (2020). MSC: 62M10 62G08 62G20 62P20 PDFBibTeX XMLCite \textit{Y. Lin} et al., J. Econom. 216, No. 1, 175--191 (2020; Zbl 1456.62209) 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 PDFBibTeX XMLCite \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 PDFBibTeX XMLCite \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 1456.62216 J. Econom. 214, No. 2, 433-450 (2020). MSC: 62M10 62E20 62P20 PDFBibTeX XMLCite \textit{R. She} and \textit{S. Ling}, J. Econom. 214, No. 2, 433--450 (2020; Zbl 1456.62216) 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 PDFBibTeX XMLCite \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 1456.62265 J. Econom. 214, No. 1, 256-273 (2020). MSC: 62P12 62M10 62P20 86A08 PDFBibTeX XMLCite \textit{F. Pretis}, J. Econom. 214, No. 1, 256--273 (2020; Zbl 1456.62265) Full Text: DOI
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 PDFBibTeX XMLCite \textit{S. B. Bruns} et al., J. Econom. 214, No. 1, 175--197 (2020; Zbl 1456.62259) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{P. C. B. Phillips} et al., J. Econom. 214, No. 1, 6--32 (2020; Zbl 1456.62264) Full Text: DOI Link