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Cointegration tests with conditional heteroskedasticity

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Cited by:

  1. Caporale, Guglielmo Maria & Ciferri, Davide & Girardi, Alessandro, 2011. "Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 709-723, September.
  2. Stéphane Von Cramon-Taubadel & Jens-Peter Loy, 1998. "Estimation des transmissions de prix asymétriques avec des prix intégrés [Une application au marché mondial du blé]," Économie rurale, Programme National Persée, vol. 243(1), pages 30-39.
  3. Bosupeng, Mpho & Biza-Khupe, Simangaliso, 2015. "The Impact of Money Supply Volatility on the Fisher Effect –A Botswana Empirical Perspective," MPRA Paper 77920, University Library of Munich, Germany, revised 2015.
  4. Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology.
  5. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price (Extended version)," MPRA Paper 17960, University Library of Munich, Germany.
  6. Milas, Costas & Otero, Jesus, 2003. "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach," Economic Modelling, Elsevier, vol. 20(1), pages 165-179, January.
  7. Bredin, Don & Muckley, Cal, 2011. "An emerging equilibrium in the EU emissions trading scheme," Energy Economics, Elsevier, vol. 33(2), pages 353-362, March.
  8. Mazza, Paolo & Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, vol. 15(C), pages 18-30.
  9. So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
  10. Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan, 2015. "A regime switching approach for hedging tanker shipping freight rates," Energy Economics, Elsevier, vol. 49(C), pages 44-59.
  11. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 1998. "The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability," Journal of Macroeconomics, Elsevier, vol. 20(4), pages 741-766, October.
  12. Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
  13. Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," The Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1121, October.
  14. Kouretas, Georgios P. & Zarangas, Leonidas P., 2001. "Black and official exchange rates in Greece: an analysis of their long-run dynamics," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 295-314, July.
  15. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
  16. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
  17. Chow, Sheung Chi & Vieito, João Paulo & Wong, Wing Keung, 2019. "Do both demand-following and supply-leading theories hold true in developing countries?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 536-554.
  18. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
  19. Tse, Yiuman, 2000. "Further Examination of Price Discovery on the NYSE and Regional Exchanges," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 331-351, Fall.
  20. Ganegodage, K. Renuka & Rambaldi, Alicia N., 2014. "Economic consequences of war: Evidence from Sri Lanka," Journal of Asian Economics, Elsevier, vol. 30(C), pages 42-53.
  21. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
  22. Boubacar Maïnassara, Yacouba & Raïssi, Hamdi, 2015. "Semi-strong linearity testing in linear models with dependent but uncorrelated errors," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 110-115.
  23. Maria-Eleni K. Agoraki & Dimitris A. Georgoutsos & Georgios P. Kouretas, 2019. "Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices," JRFM, MDPI, vol. 12(4), pages 1-20, December.
  24. Diamandis, Panayiotis F., 2003. "Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 89-110.
  25. Diamandis, Panayiotis F. & Kouretas, Georgios P. & Zarangas, Leonidas, 2007. "Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries," Research in International Business and Finance, Elsevier, vol. 21(2), pages 238-259, June.
  26. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," University of Göttingen Working Papers in Economics 68, University of Goettingen, Department of Economics.
  27. Strauss, Jack & Yigit, Taner, 2001. "Present value model, heteroscedasticity and parameter stability tests," Economics Letters, Elsevier, vol. 73(3), pages 375-378, December.
  28. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  29. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
  30. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price," MPRA Paper 18663, University Library of Munich, Germany.
  31. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics.
  32. Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.
  33. repec:ehu:biltok:5784 is not listed on IDEAS
  34. 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.
  35. Maurer, Rainer, 2022. "Price levels in the European Monetary Union: Even tradables follow independent random walks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  36. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2000. "The monetary model in the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the Greek drachma," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 917-941, December.
  37. Lucey, Brian M. & Muckley, Cal, 2011. "Robust global stock market interdependencies," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 215-224, August.
  38. Alessandro Fontana, 2010. "The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis," Working Papers 2010_13, Department of Economics, University of Venice "Ca' Foscari".
  39. Klaus Grobys, 2015. "Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity," Empirical Economics, Springer, vol. 48(3), pages 1189-1202, May.
  40. Christos Kollias & Charis Naxakisb & Leonidas Zarangasb, 2004. "Defence Spending and Growth in Cyprus: A Causal Analysis," Defence and Peace Economics, Taylor & Francis Journals, vol. 15(3), pages 299-307.
  41. Kao, Chung-Wei & Wan, Jer-Yuh, 2009. "Information transmission and market interactions across the Atlantic -- an empirical study on the natural gas market," Energy Economics, Elsevier, vol. 31(1), pages 152-161, January.
  42. Kouretas, Georgios P. & Yannopoulos, Andreas, 2006. "Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector," Economic Modelling, Elsevier, vol. 23(2), pages 316-338, March.
  43. I. Procidano & S. Rigatti Luchini, 2002. "Testing unit roots by bootstrap," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 175-189.
  44. Yiuman Tse, 2000. "Further Examination Of Price Discovery On The Nyse And Regional Exchanges," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 331-351, September.
  45. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911, January.
  46. Georgios Kouretas & Leonidas Zarangas, 2001. "Long-Run Purchasing Power Parity and Structural Change: The Official and Parallel Foreign Exchange Markets For Dollars In Greece," International Economic Journal, Taylor & Francis Journals, vol. 15(3), pages 109-128.
  47. Woo, Kai-Yin, 1999. "Cointegration analysis of the intensity of the ERM currencies under the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 393-405, November.
  48. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
  49. Tse, Yiuman & Booth, G. Geoffrey, 1997. "Information shares in international oil futures markets," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 49-56.
  50. C. Kailash P. & К. Прадхам Ч., 2017. "Движение цен на спотовых и фьючерсных рынках: Подтверждение индексами S&P CNX NIFTY // Price movements in futures and spot markets: Evidence from the S&P CNX Nifty Index," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 32-41.
  51. Thuraisamy, Kannan & Gannon, Gerard, 2013. "Modelling the sovereign linkages of key Latin American economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 222-239.
  52. repec:got:cegedp:68 is not listed on IDEAS
  53. Y Hsing, 2004. "Impacts of Dollar Depreciation and Low Deposit Rates on the US Economy," Economic Issues Journal Articles, Economic Issues, vol. 9(1), pages 1-14, March.
  54. Aggarwal, Raj & Muckley, Cal B., 2010. "Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 149-165, April.
  55. Bee Wah Tan & Chor Foon Tang, 2016. "Examining the Causal Linkages among Domestic Investment, FDI, Trade, Interest Rate and Economic Growth in ASEAN-5 Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 214-220.
  56. Geoffrey Booth, G. & Chowdhury, Mustafa & Martikainen, Teppo, 1996. "Common volatility in major stock index futures markets," European Journal of Operational Research, Elsevier, vol. 95(3), pages 623-630, December.
  57. Yaxue Yan & Weijuan Liang & Banban Wang & Xiaoling Zhang, 2023. "Spillover effect among independent carbon markets: evidence from China’s carbon markets," Economic Change and Restructuring, Springer, vol. 56(5), pages 3065-3093, October.
  58. Apostolos G. Christopoulos & Spyros Papathanasiou & Petros Kalantonis & Andreas Chouliaras & Savvas Katsikides, 2014. "An Investigation of Cointegration and Casualty Relationships between the PIIGS’ Stock Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 109-123.
  59. Yuanlong Ge & Holly H. Wang & Sung K. Ahn, 2010. "Cotton market integration and the impact of China's new exchange rate regime," Agricultural Economics, International Association of Agricultural Economists, vol. 41(5), pages 443-451, September.
  60. William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004. "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200403, University of Kansas, Department of Economics, revised May 2004.
  61. Manolis Kavussanos & Nikos Nomikos, 2003. "Price Discovery, Causality and Forecasting in the Freight Futures Market," Review of Derivatives Research, Springer, vol. 6(3), pages 203-230, October.
  62. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics.
  63. Chiang, Thomas C., 1997. "Time series dynamics of short-term interest rates: evidence from Eurocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 201-220, October.
  64. Bachman, Daniel & Choi, Jongmoo Jay & Jeon, Bang Nan & Kopecky, Kenneth J., 1996. "Common factors in international stock prices: Evidence from a cointegration study," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 39-53.
  65. Kouretas, Georgios P. & Zarangas, Leonidas P., 2000. "Wage Setting, Taxes, and Demand for Labor in Greece: A Multivariate Analysis of Cointegrating Relationships," Journal of Policy Modeling, Elsevier, vol. 22(2), pages 171-195, March.
  66. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," Borradores de Investigación 3296, Universidad del Rosario.
  67. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M, 2014. "On the economic determinants of the gold–inflation relation," Resources Policy, Elsevier, vol. 41(C), pages 101-108.
  68. P., Srinivasan, 2011. "Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market," MPRA Paper 47412, University Library of Munich, Germany.
  69. Bosupeng, Mpho, 2014. "Sensitivity Of Stock Prices To Money Supply Dynamics," MPRA Paper 77924, University Library of Munich, Germany, revised 2014.
  70. Tse, Yiuman & Lee, Tae-Hwy & Booth, G. Geoffrey, 1996. "The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 447-465, June.
  71. Yiuman Tse & Emily Norman Zietz & Gaylon Greer, 1998. "Anticipating Change in Development Activity Levels," Journal of Real Estate Research, American Real Estate Society, vol. 16(2), pages 159-168.
  72. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  73. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
  74. Nimitha John & Balakrishna Narayana, 2018. "Cointegration models with non Gaussian GARCH innovations," METRON, Springer;Sapienza Università di Roma, vol. 76(1), pages 83-98, April.
  75. Sheng-Yung Yang & Shuh-Chyi Doong, 2004. "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 139-153, August.
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