We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent ...

The Canadian Journal of Economics / Revue canadienne d'Economique, Vol. 24, No. 3 (Aug., 1991), pp. 595-603 (9 pages) In this paper we use a simple but powerful technique to examine two models of the ...

Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement ...

Nonlinear cointegration and time series analysis represent a dynamic area of research that extends the classical framework of cointegration by allowing the long-run equilibrium relationships among ...

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo ...

In this paper we show how cointegration can be applied to capture the joint dynamics of multiple energy spot prices. For an example system we study the Title Transfer Facility, the Zeebrugge gas spot ...

Hedging methods are divided into single-period and multiperiod forms. After reviewing some well-known hedging algorithms, two new procedures called the Dickey-Fuller optimal (DFO) method and the ...