Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity

Citations

Cited by:

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4. Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
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6. Miyakoshi, Tatsuyoshi & Li, Kui-Wai & Shimada, Junji & Tsukuda, Yoshihiko, 2020. "The impact of quantitative easing and carry trade on the real estate market in Hong Kong," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 958-976.
7. H. Peter Boswijk & Yang Zu, 2022. "Adaptive Testing for Cointegration With Nonstationary Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
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8. Bicu, A.C. & Candelon, B., 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
9. Karel Janda & Ladislav Krištoufek, 2019. "The Relationship Between Fuel and Food Prices: Methods and Outcomes," Annual Review of Resource Economics, Annual Reviews, vol. 11(1), pages 195-216, October.
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    • Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
    • Strohsal, Till & Weber, Enzo, 2011. "Mean-variance cointegration and the expectations hypothesis," SFB 649 Discussion Papers 2011-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
11. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
12. Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017. "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 193-213.
13. Pajor Anna & Wróblewska Justyna, 2017. "VEC-MSF models in Bayesian analysis of short- and long-run relationships," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
14. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
15. Teresa Serra & David Zilberman & José Gil, 2011. "Price volatility in ethanol markets," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 38(2), pages 259-280, June.
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16. Li, Y-N. & Chen, J. & Linton, O., 2021. "Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model," Cambridge Working Papers in Economics 2150, Faculty of Economics, University of Cambridge.
17. Serra, Teresa, 2011. "Volatility spillovers between food and energy markets: A semiparametric approach," Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
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18. Yahya, Muhammad & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah & Ghosh, Sajal, 2021. "Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments," Energy Economics, Elsevier, vol. 95(C).
19. Pozo, Veronica F. & Schroeder, Ted C., 2012. "Price and Volatility Spillover between Livestock and Related Commodity Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124798, Agricultural and Applied Economics Association.
20. Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2017. "Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries," World Development, Elsevier, vol. 94(C), pages 305-320.
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    • Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2015. "Grain price and volatility transmission from international to domestic markets in developing countries:," IFPRI discussion papers 1472, International Food Policy Research Institute (IFPRI).
21. Zhengliang Yang & Xiaoxue Du & Liang Lu & Hernan Tejeda, 2022. "Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit," JRFM, MDPI, vol. 15(2), pages 1-14, February.
22. Hassouneh, Islam & Serra, Teresa & Goodwin, Barry K. & Gil, José M., 2012. "Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships," Energy Economics, Elsevier, vol. 34(5), pages 1507-1513.
23. López Cabrera, Brenda & Schulz, Franziska, 2016. "Volatility linkages between energy and agricultural commodity prices," Energy Economics, Elsevier, vol. 54(C), pages 190-203.
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24. Anelise Rahmeier Seyffarth, 2016. "The Impact of Rising Ethanol Production on the Brazilian Market for Basic Food Commodities: An Econometric Assessment," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 64(3), pages 511-536, July.
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27. Hassouneh, Islam & Serra, Teresa & Gil, Jose Maria, 2011. "Non-parametric and Parametric Modeling of Biodiesel - Sunflower Oil - Crude Oil Price Relationships," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114554, European Association of Agricultural Economists.
28. Panagiotis Mantalos & Kristofer Mansson & Ghazi Shukur, 2010. "The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 327-342.