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Outlier Detection in Cointegration Analysis

Citations

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Cited by:

  1. Borbély, Dóra & Meier, Carsten-Patrick, 2003. "Macroeconomic interval forecasting: the case of assessing the risk of deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy (IfW Kiel).
  2. Barry Falk & Chun-Hsuan Wang, 2003. "Testing long-run PPP with infinite-variance returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 471-484.
  3. Hong Li & Yanlin Shi, 2022. "Robust information share measures with an application on the international crude oil markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 555-579, April.
  4. Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Georgiev, Iliyan, 2010. "Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables," Journal of Econometrics, Elsevier, vol. 158(1), pages 37-50, September.
  6. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
  7. Bosco, Bruno & Parisio, Lucia & Pelagatti, Matteo & Baldi, Fabio, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," International Energy Markets Working Papers 7438, Fondazione Eni Enrico Mattei (FEEM).
  8. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911, October.
  9. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
  10. Luis A. Rivas & José de Jesús Rojas, 2001. "Precios relativos, inflación subyacente y metas de inflación: un análisis para Nicaragua," Monetaria, CEMLA, vol. 0(3), pages 355-380, julio-sep.
  11. Winkelried, Diego, 2012. "Traspaso del tipo de cambio y metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 23, pages 9-24.
  12. Blazsek, Szabolcs & Licht, Adrian, 2019. "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics 28451, Universidad Carlos III de Madrid. Departamento de Economía.
  13. Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," Working Papers 2007.103, Fondazione Eni Enrico Mattei.
  14. Bernd Schwaab, 2012. "Conditional probabilities and contagion measures for euro area sovereign default risk," Research Bulletin, European Central Bank, vol. 17, pages 6-11.
  15. Andreas Benedictow & Pål Boug, 2013. "Trade liberalisation and exchange rate pass-through: the case of textiles and wearing apparels," Empirical Economics, Springer, vol. 45(2), pages 757-788, October.
  16. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
  17. André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
  18. Miguel Arranz & Alvaro Escribano, 2004. "Outliers - robust ECM cointegration tests based on the trend components," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(4), pages 243-266, December.
  19. Alfred A. Haug, 2002. "Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 399-412, September.
  20. Benner Joachim & Meier Carsten-Patrick, 2004. "Prognosegüte alternativer Früh Indikatoren für die Konjunktur in Deutschland / Forecasting Performance of Alternative Indicators for the German Economy," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 639-652, December.
  21. Diego Winkelried, 2014. "Exchange rate pass-through and inflation targeting in Peru," Empirical Economics, Springer, vol. 46(4), pages 1181-1196, June.
  22. Ziping Zhao & Daniel P. Palomar, 2017. "Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model," Papers 1710.05513, arXiv.org.
  23. Carlos Andrés Perilla Castro, 2001. "Capitales mínimos de los establecimientos de crédito," Monetaria, CEMLA, vol. 0(3), pages 271-353, julio-sep.
  24. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  25. Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach," Working Papers of Department of Decision Sciences and Information Management, Leuven 590528, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
  26. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  27. Katarzyna Rosiak-Lada, 2008. "Stylized Facts of Macroeconomics: the Polish Experience," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 20.
  28. Meier, Carsten-Patrick, 2004. "Investigating the impact of an appreciation of the euro in a small macroeconometric model of Germany and the euro area," Kiel Working Papers 1204, Kiel Institute for the World Economy (IfW Kiel).
  29. Daniel G. Garcés Díaz, 2001. "Determinación del nivel de precios y la dinámica inflacionaria en México," Monetaria, CEMLA, vol. 0(3), pages 241-269, julio-sep.
  30. Eser, Fabian & Schwaab, Bernd, 2016. "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, vol. 119(1), pages 147-167.
  31. Mosab I. Tabash & Mujeeb Saif Mohsen Al-Absy & Azzam Hannoon, 2024. "Modeling the Nexus between European Carbon Emission Trading and Financial Market Returns: Practical Implications for Carbon Risk Reduction and Hedging," JRFM, MDPI, vol. 17(4), pages 1-29, April.
  32. Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
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