Dissertations / Theses: 'Cointegration'

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Löf, Mårten. "On seasonality and cointegration." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2001. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-614.

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This thesis, which consists of four essays, focus on seasonal and periodic cointegration models. These models are tools to describe changing seasonality.Essay 1 "Forecasting performance of seasonal cointegration models", with Johan Lyhagen. Forecasts from two different seasonal cointegration specifications are compared in an empirical forecasting example and in a Monte Carlo study. One of the two specifications include a certain parameter restriction at the annual frequency, wheras the other specification is more general. In the empirical forecasting example we also include a standard cointegration model based on first differences and seasonal dummies and analyze the effects of restricting or not restricting seasonal dummies in the seasonal cointegration models. While the Monte Carlo results favor the general specification, and definitely so if larger sample sizes are considered, we do not find such clear cut evidence in the empirical example.Essay 2 "On forecasting cointegrated seasonal time series", with Philip Hans Franses. In this essay we analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical forecasting study. We include both single equation and multiple equations methods for those two classes of models. A VAR model in first differences, with and without cointegration restrictions, and a VAR model in annual differences are also included in the analysis, where they serve as benchmark models. Our empirical results indicate that the VAR model in first differences without cointegration is best if one-step ahead forecasts are considered. For longer forecast horizons however, the VAR model in annual differences is better. When comparing periodic versus seasonal cointegration models, we find that the seasonal cointegration models tend to yield better forecasts. Essay 3 "Size and power of the likelihood ratio test for seasonal cointegration in small samples: A Monte Carlo study", This essay investigates the small sample size and power properties of the likelihood ratio test in the seasonal error correction model. Two specifications of the model at the annual frequency are analyzed. One is more restricted (RS), designed for the particular case of 'synchronous cointegration', whereas the other specification is general (GS). The results indicate that RS has poor size properties in cases where non-synchronous cointegration clearly should play a role. There is a risk of finding 'evidence' of too many cointegrating vectors at the annual frequency when using RS. On the other hand, if the restriction is almost satisfied, the general specification looses power at least for small sample sizes, while tests in RS have good properties. Essay 4 "On seasonal error correction when the processes include different numbers of unit roots", with Johan Lyhagen. We propose a seasonal error correction model (SECM) for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of specifying a SECM with all variables in annual diffrerences in this situation. The SECM in annual differences is compared to the correctly specified model. Pre-testing for unit roots using two different approaches, and where the models are specified according to the unit root test results, is also considered. The results indicate that, in practice, a cointegration model where all variables are transformed with the annual difference filter is more robust than one obtained by pre-testing for a smaller number of unit roots.
Diss. Stockholm : Handelshögsk., 2001 [4], iv s., s. 1-23: sammanfattning, s. 25-110, [5] s.: 4 uppsatser

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Löf, Mårten. "On seasonality and cointegration /." Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/556.htm.

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Pashourtidou, Nicoletta. "Cointegration in misspecified models." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252324.

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Clements, Michael P. "Cointegration and dynamic econometric modelling." Thesis, University of Oxford, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334980.

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Giese, Julia V. "Essays in Applied Cointegration Analysis." Thesis, University of Oxford, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.517139.

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Huber, Florian, and Thomas Zörner. "Threshold cointegration and adaptive shrinkage." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5577/1/wp250.pdf.

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This paper considers Bayesian estimation of the threshold vector error correction (TVECM) model in moderate to large dimensions. Using the lagged cointegrating error as a threshold variable gives rise to additional difficulties that are typically solved by relying on large sample approximations. Relying on Markov chain Monte Carlo methods we circumvent these issues by avoiding computationally prohibitive estimation strategies like the grid search. Due to the proliferation of parameters we use novel global-local shrinkage priors in the spirit of Griffin and Brown (2010). We illustrate the merits of our approach in an application to five exchange rates vis-á-vis the US dollar and assess whether a given currency is over or undervalued. Moreover, we perform a forecasting comparison to investigate whether it pays off to adopt a non-linear modeling approach relative to a set of simpler benchmark models.
Series: Department of Economics Working Paper Series

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Schmidt, Arlen David. "Pairs Trading: A Cointegration Approach." Thesis, Discipline of Finance, 2009. http://hdl.handle.net/2123/4072.

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This study uses the Johansen test for cointegration to select trading pairs for use within a pairs trading framework. A long-run equilibrium price relationship is then estimated for the identified trading pairs, and the resulting mean-reverting residual spread is modeled as a Vector-Error-Correction model (VECM). The study uses 5 years of daily stock prices starting from the beginning of July, 2002. The search for trading pairs is restricted to 17 financial stocks listed on the ASX200. The results show that two cointegrated stocks can be combined in a certain linear combination so that the dynamics of the resulting portfolio are governed by a stationary process. Although a trading rule is not employed to access the profitability of this trading strategy, plots of the residual series show a high rate of zero crossings and large deviations around the mean. This would suggest that this strategy would likely be profitable. It can also be concluded that in the presence of cointegration, at least one of the speed of adjustment coefficients must be significantly different from zero.

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Örsal, Deniz Dilan Karaman. "Essays on panel cointegration testing." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2009. http://dx.doi.org/10.18452/15894.

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Diese Dissertation beinhaltet vier Aufsätze, die zur Literatur der Panelkointegrationsmethodik beitragen. Der erste Aufsatz vergleicht die Eigenschaften der vier Residuen-basierten Panelkointegrationstests von Pedroni (1995, 1999) mit dem Likelihood-basierten Panelkointegrationstest von Larsson et al. (2001) in endlichen Stichproben. Die Simulationsergebnisse zeigen, dass unter den fünf untersuchten Panelkointegrationsteststatistiken die Panel-t Teststatistik von Pedroni (1995, 1999) die besten Eigenschaften in endlichen Stichproben besitzt. Der zweite Aufsatz präsentiert eine Korrektur des Beweises von Larsson et al. (2001) bezüglich der Endlichkeit der Momente der asymptotischen Trace-Statistik für den Fall, dass die Differenz zwischen der Anzahl der Variablen und der Anzahl der existierenden Kointegrationsbeziehungen eins ist. Im dritten Aufsatz wird ein neuer Likelihood-basierter Panelkointegrationstest vorgestellt, der die Existenz eines linearen Trends in dem datengenerierenden Prozess erlaubt. Dieser neue Test ist eine Erweiterung des Likelihood-Quotienten-Tests von Saikkonen und Lütkepohl (2000a) für trendbereinigte Daten auf die Paneldatenanalyse. Unter der Nullhypothese folgt die Panel-SL Teststatistik einer standardisierten Normalverteilung, wenn die Anzahl der Beobachtungen über die Zeit (T) und die Anzahl der Querschnitte (N) sequentiell gegen unendlich gehen. In einer Monte-Carlo-Studie werden die Eigenschaften des Panel-SL Tests in endlichen Stichproben untersucht. Der neue Test hat ein annehmbares empirisches Signifikanzniveau für wachsende T und N sowie eine hohe Güte in kleinen Stichproben. Der letzte Aufsatz der Dissertation analysiert die langfristige Geldnachfragefunktion in OECD Ländern mit Hilfe von Paneleinheitswurzel- und Panelkointegrationstests. Um eine mögliche Existenz einer stationären langfristigen Geldnachfragefunktion zu untersuchen, werden der Panel-SL Kointegrationstest und die Tests von Pedroni (1999) verwendet. Im Anschluss daran wird eine Paneldatenschätzung für die Geldnachfragefunktion mittels der dynamischen Kleinste-Quadrate-Methode von Mark und Sul (2003) durchgeführt.
This thesis is composed of four essays which contribute to the literature in panel cointegration methodology. The first essay compares the finite sample properties of the four residual-based panel cointegration tests of Pedroni (1995, 1999) and the likelihood-based panel cointegration test of Larsson et al. (2001). The simulation results indicate that the panel-t test statistic of Pedroni has the best finite sample properties among the five panel cointegration test statistics evaluated. The second essay presents a corrected version of the proof of Larsson et al. (2001) related to the finiteness of the moments of the asymptotic trace statistic. The proof is corrected for the case, in which the difference between the number of variables and the number of existing cointegrating relations is one. The third essay proposes a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio test of Saikkonen and Lütkepohl (2000) for trend-adjusted data to the panel data framework, and is called the panel SL test. Under the null hypothesis, the panel SL test statistic is standard normally distributed as the number of time periods (T) and the number of cross-sections (N) tend to infinity sequentially. By means of a Monte Carlo study the finite sample properties of the test are investigated. The new test presents reasonable size with the increase in T and N, and has high power in small samples. The last essay of the thesis analyzes the long-run money demand relation among OECD countries by panel unit root and cointegration testing techniques. The panel SL cointegration test and the tests of Pedroni (1999) are used to detect the existence of a stationary long-run money demand relation. Moreover, the money demand function is estimated with the panel dynamic ordinary least squares method of Mark and Sul (2003).

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ARMILLOTTA, EMANUELE. "Issues in Nonlinear Cointegration Modelling." Doctoral thesis, Università Politecnica delle Marche, 2017. http://hdl.handle.net/11566/251236.

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In letteratura sempre maggiore è l’attenzione rivolta ai modelli di cointegrazione non lineari. Nella struttura a termine dei tassi di interesse i modelli a soglia permettono di considerare quei fattori, come i premi per il rischio variabili, i costi di transazione e gli interventi di politica monetaria, che ostacolano l’aggiustamento attorno l’equilibrio di lungo periodo. Nel contesto del mercato obbligazionario statunitense viene indagata la capacità di un modello che ammette una maggior flessibilità di approssimare le dinamiche non lineari del meccanismo di aggiustamento soprattutto in occasione degli ultimi avvenimenti finanziari ed economici. Nonostante la semplicità di questo modello alcune tra la più significative problematiche si riscontrano in ambito asintotico. In letteratura non vi è alcuna teoria generale per i modelli di cointegrazione non lineari, ma viene di volta in volta ridefinita per ogni singola famiglia di modelli. In questa tesi vengono investigate alcune proprietà asintotiche del modello considerato sia cercando di collegare alcuni dei risultati principali sia ricorrendo a tecniche di simulazione.
Literature is paying more and more attention to nonlinear cointergration models. In the term of structure of interest rates, threshold models consider all elements, such as time variables risk premium, transaction costs and monetary policy interventions, that prevent the adjustment towards long-run equilibrium. I analysed the performance of a framework that allows more flexibility to approximate non linear dynamics in the adjustment mechanism in the US bond market and I paid attention to the last international financial and economic events. Although the model is straightforward, there are some problems with its asymptotic proprieties. In literature there is not any general asymptotic theory for the nonlinear cointegration models, because it is always redefined and at the end there is a specific theorem for each family of models. So I investigated on the limit distribution test of this nonlinear model by putting in connection some of the most important results already present in literature and by using simulation methods.

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Göttfert, Joline. "Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple." Thesis, Umeå universitet, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-161079.

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The purpose of this paper is to examine if there is cointegration between the daily closing price of the cryptocurrency Bitcoin and five other cryptocurrencies; Ethereum, Ripple, Bitcoin Cash, EOS and Litecoin in five different time periods, all ending April 9, 2019. To test if there is a long-run relationship between Bitcoin and these mentioned cryptocurrencies, two different tests for cointegration are applied; the Engle-Granger two step approach and Johansen’s cointegration test as well as a Vector Error Correction Model (VECM). The results from both cointegration tests suggest that Bitcoin is cointegrated with Bitcoin Cash, Ethereum, Litecoin and Ripple. The Johansen test and the Engle-Granger method for cointegration demonstrate that Bitcoin and EOS do not have any cointegrating relationship. Another finding is that, based on the results from the VECM estimation, the price of Bitcoin has a statistically significant long-run impact on the prices of Bitcoin Cash, Ethereum, Litecoin and Ripple.

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Turasie, Alemtsehai Abate. "Cointegration modelling of climatic time series." Thesis, University of Exeter, 2012. http://hdl.handle.net/10036/4090.

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This thesis has used bivariate time series models to investigate the long-run causal relationships between climatic variables. The cointegration approach, widely used in econometrics, has been shown to provide more reliable estimates for detection and attribution of trends in global mean temperature. The traditional ordinary least squares (OLS) and total least squares (TLS) esti- mates from a static regression model are critically compared with the maximum likelihood (ML) estimates from a cointegrating vector autoregressive (VAR) model. Using synthetic data, generated by a simple stochastic model of the climate-carbon system, the estimates are compared against a known true value and evaluated in terms of key desirable statistical properties. Results show that the OLS estimates are strongly negatively biased, TLS estimates are less biased than OLS and posi- tively biased compared to the VAR-ML estimates. TLS estimates are much more uncertain than those from the other approaches. VAR-ML estimates are less biased and more e cient compared to estimates from the traditional approaches. Comparison has also been made using real historic global mean temperature data and climate model simulations from Coupled Model Intercomparison Project 5 (CMIP5) archive, and similar conclusions were found. All CMIP5 model runs were found to have cointegrating relationship with historical observed temperature. Another issue addressed in this thesis is the Granger causality between paleoclimate temperature and CO2. Di erent extensions of the VAR model were used to assess Granger causality between the two variables. This research has shown that two-way causality (feedback) is occurring between temperature and CO2, particularly during the glacial epochs. Impulse-response analysis was also carried out to quantify dynamic interactions between the variables. This showed that each variable reacted positively to a shock in another. For example, a 100ppmv increase in CO2 can induce an increase of up to 4 C in temperature and a 1 C increase in temperature induces up to 2.3ppmv increase in CO2 during glacial periods in particular. A shock to CO2 during the warmer interglacial periods was seen to induce an explosive increase in both temperature and CO2.

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Al-Balaa, Norah Rashid. "On the estimation of cointegration models." Thesis, Aberystwyth University, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.271006.

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Rao, Yao. "Essays in panel stationarity and cointegration tests." Thesis, University of Liverpool, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437525.

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MacLean, Thomas Frank. "Asymmetric demand for energy : a cointegration approach /." Thesis, Connect to this title online; UW restricted, 1997. http://hdl.handle.net/1773/7494.

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Silvestrini, Andrea. "Essays on aggregation and cointegration of econometric models." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210304.

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This dissertation can be broadly divided into two independent parts. The first three chapters analyse issues related to temporal and contemporaneous aggregation of econometric models. The fourth chapter contains an application of Bayesian techniques to investigate whether the post transition fiscal policy of Poland is sustainable in the long run and consistent with an intertemporal budget constraint.

Chapter 1 surveys the econometric methodology of temporal aggregation for a wide range of univariate and multivariate time series models.

A unified overview of temporal aggregation techniques for this broad class of processes is presented in the first part of the chapter and the main results are summarized. In each case, assuming to know the underlying process at the disaggregate frequency, the aim is to find the appropriate model for the aggregated data. Additional topics concerning temporal aggregation of ARIMA-GARCH models (see Drost and Nijman, 1993) are discussed and several examples presented. Systematic sampling schemes are also reviewed.

Multivariate models, which show interesting features under temporal aggregation (Breitung and Swanson, 2002, Marcellino, 1999, Hafner, 2008), are examined in the second part of the chapter. In particular, the focus is on temporal aggregation of VARMA models and on the related concept of spurious instantaneous causality, which is not a time series property invariant to temporal aggregation. On the other hand, as pointed out by Marcellino (1999), other important time series features as cointegration and presence of unit roots are invariant to temporal aggregation and are not induced by it.

Some empirical applications based on macroeconomic and financial data illustrate all the techniques surveyed and the main results.

Chapter 2 is an attempt to monitor fiscal variables in the Euro area, building an early warning signal indicator for assessing the development of public finances in the short-run and exploiting the existence of monthly budgetary statistics from France, taken as "example country".

The application is conducted focusing on the cash State deficit, looking at components from the revenue and expenditure sides. For each component, monthly ARIMA models are estimated and then temporally aggregated to the annual frequency, as the policy makers are interested in yearly predictions.

The short-run forecasting exercises carried out for years 2002, 2003 and 2004 highlight the fact that the one-step-ahead predictions based on the temporally aggregated models generally outperform those delivered by standard monthly ARIMA modeling, as well as the official forecasts made available by the French government, for each of the eleven components and thus for the whole State deficit. More importantly, by the middle of the year, very accurate predictions for the current year are made available.

The proposed method could be extremely useful, providing policy makers with a valuable indicator when assessing the development of public finances in the short-run (one year horizon or even less).

Chapter 3 deals with the issue of forecasting contemporaneous time series aggregates. The performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously aggregated vector ARMA (VARMA) processes is compared. An aggregate predictor is built by forecasting directly the aggregate process, as it results from contemporaneous aggregation of the data generating vector process. A disaggregate predictor is a predictor obtained from aggregation of univariate forecasts for the individual components of the data generating vector process.

The econometric framework is broadly based on Lütkepohl (1987). The necessary and sufficient condition for the equality of mean squared errors associated with the two competing methods in the bivariate VMA(1) case is provided. It is argued that the condition of equality of predictors as stated in Lütkepohl (1987), although necessary and sufficient for the equality of the predictors, is sufficient (but not necessary) for the equality of mean squared errors.

Furthermore, it is shown that the same forecasting accuracy for the two predictors can be achieved using specific assumptions on the parameters of the VMA(1) structure.

Finally, an empirical application that involves the problem of forecasting the Italian monetary aggregate M1 on the basis of annual time series ranging from 1948 until 1998, prior to the creation of the European Economic and Monetary Union (EMU), is presented to show the relevance of the topic. In the empirical application, the framework is further generalized to deal with heteroskedastic and cross-correlated innovations.

Chapter 4 deals with a cointegration analysis applied to the empirical investigation of fiscal sustainability. The focus is on a particular country: Poland. The choice of Poland is not random. First, the motivation stems from the fact that fiscal sustainability is a central topic for most of the economies of Eastern Europe. Second, this is one of the first countries to start the transition process to a market economy (since 1989), providing a relatively favorable institutional setting within which to study fiscal sustainability (see Green, Holmes and Kowalski, 2001). The emphasis is on the feasibility of a permanent deficit in the long-run, meaning whether a government can continue to operate under its current fiscal policy indefinitely.

The empirical analysis to examine debt stabilization is made up by two steps.

First, a Bayesian methodology is applied to conduct inference about the cointegrating relationship between budget revenues and (inclusive of interest) expenditures and to select the cointegrating rank. This task is complicated by the conceptual difficulty linked to the choice of the prior distributions for the parameters relevant to the economic problem under study (Villani, 2005).

Second, Bayesian inference is applied to the estimation of the normalized cointegrating vector between budget revenues and expenditures. With a single cointegrating equation, some known results concerning the posterior density of the cointegrating vector may be used (see Bauwens, Lubrano and Richard, 1999).

The priors used in the paper leads to straightforward posterior calculations which can be easily performed.

Moreover, the posterior analysis leads to a careful assessment of the magnitude of the cointegrating vector. Finally, it is shown to what extent the likelihood of the data is important in revising the available prior information, relying on numerical integration techniques based on deterministic methods.

Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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Jee, Keehwan. "Canadian newsprint in the United States, cointegration analysis." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0001/MQ46259.pdf.

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Röhrs, Alexander. "Equity market cointegration in the extended European Union." Marburg Tectum-Verl, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=3042727&prov=M&dok_var=1&dok_ext=htm.

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Juselius, Mikael. "A cointegration approach to topics in empirical macroeconomics /." Helsingfors : Svenska Handelshögskolan, 2007. http://www.gbv.de/dms/zbw/555519236.pdf.

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Röhrs, Alexander. "Equity market cointegration in the extended European Union /." Marburg : Tectum, 2007. http://www.gbv.de/dms/zbw/555690601.pdf.

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Iacone, Fabrizio. "Long memory and fractional cointegration with deterministic trends." Thesis, London School of Economics and Political Science (University of London), 2006. http://etheses.lse.ac.uk/1937/.

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We discuss the estimation of the order of integration of a fractional process that may be contaminated by a time-varying deterministic component, or subject to a break in the dynamics of the zero-mean stochastic component, and the estimation of the cointegrating parameter in a bivariate system generated by fractionally integrated processes and by additive polynomial trends. In Chapter 1 we review the theoretical literature on fractional integration and cointegration, and we analyse a situation in which a fractional model reconciles two apparently conflicting economic theories. In Chapter 2 we consider local Whittle estimation of the order of integration when the process is contaminated by a deterministic trend or by a break in the mean. We propose a simple condition to assess whether the asymptotic properties of the estimate are unaffected by the time-varying mean, and a test, with asymptotically normal test statistic under the null, to detect if that condition is met. In Chapter 3 we discuss local Whittle estimation when the zero-mean stochastic component is subject to a break: we show that the estimate is robust to instability in the short term dynamics, while in presence of a break in the long term dynamics only the highest order of integration is consistently estimated. We propose a test to detect that break: the limit distribution of the test statistic under the null is not standard, but it is well known in the literature. We also propose a procedure to estimate the location of a break when it is present. In Chapter 4 we consider a cointegrating relation in which a nonstationary, bivariate process is augmented by a deterministic trend. We derive the limit properties of the Ordinary Least Squares and Generalised Least Squares estimates: these depend on the comparison between the deterministic and the stochastic components.

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Shi, Haichen. "On nonlinear cointegration methods for structural health monitoring." Thesis, University of Sheffield, 2018. http://etheses.whiterose.ac.uk/22301/.

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Structural health monitoring (SHM) is emerging as a crucial technology for the assessment and management of important assets in various industries. Thanks to the rapid developments of sensing technology and computing machines, large amounts of sensor data are now becoming much easier and cheaper to obtain from monitored structures, which consequently has enabled data-driven methods to become the main work forces for real world SHM systems. However, SHM practitioners soon discover a major problem for in-service SHM systems; that is the effect of environmental and operational variations (EOVs). Most assets (bridges, aircraft engines, wind turbines) are so important that they are too costly to be isolated for testing and examination purposes. Often, their structural properties are heavily in uenced by ambient environmental and operational conditions, or EOVs. So, the most important question raised for an effective SHM system is, how one could tell whether an alarm signal comes from structural damage or from EOVs? Cointegration, a method originating from econometric time series analysis, has proven to be one of the most promising approaches to address the above question. Cointegration is a property of nonstationary time series, it models the long-run relationship among multiple nonstationary time series. The idea of employing the cointegration method in the SHM context relies on the fact that this long-run relationship is immune to the changes caused by EOVs, but when damage occurs, this relationship no longer stands. The work in this thesis aims to further strengthen and extend conventional linear cointegration methods to a nonlinear context, by hybridising cointegration with machine learning and time series models. There are three contributions presented in this thesis: The first part is about a nonlinear cointegration method based on Gaussian process (GP) regression. Instead of using a linear regression, this part attempts to establish a nonlinear cointegrating regression with a GP. GP regression is a powerful Bayesian machine learning approach that can produce probabilistic predictions and avoid overfitting. The proposed method is tested with one simulated case study and with the Z24 Bridge SHM data. The second part concerns developing a regime-switching cointegration approach. Instead of modelling nonlinear cointegration as a smooth function, this part sees cointegration as a piecewise-linear function, which is triggered by some external variable. The model is trained with the aid of the augmented Dickey-Fuller (ADF) test statistics. Two case studies are presented in this part, one simulated mulitidegree-of-freedom system, and also the Z24 Bridge data. The third part of this work introduces a cointegration method for heteroscedastic data. Heteroscedasticity, or time-dependent noise is often observed in SHM data, normally caused by seasonal variations. In order to address this issue, the TBATS (an acronym for key features of the model: Trigonometric, Box-Cox transformation, ARMA error, Trend, Seasonal components) model is employed to decompose the seasonal-corrupted time series, followed by conventional cointegration analysis. A simulated cantilever beam and real measurement data from the NPL Bridge are used to validate the proposed method.

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Pesavento, Elena. "Analytical evaluation and application of tests for cointegration /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9984808.

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Hinterholz, Eduardo Mathias. "Price discovery using a regime-sensitive cointegration approach." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13970.

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This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in 'pairs trading' and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of 'information share' (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.
Este trabalho propõe um método para examinar variações na relação cointegração de preços de ações preferenciais e ordinárias da bolsa brasileira através de mudanças de regime no sentido de Markov. Este modelo tem como objetivo contribuir tanto para futuros trabalhos em negociações de pares ('pairs trading') quanto, principalmente, para aplicação em descoberta de preços visto que, condicional nos estados, é pressuposta estacionariedade no sistema. Desta maneira seria possível a extração de medidas de 'parcela de informação' (IS) baseadas na representação de médias móveis de um modelo de correção de erros Markoviano, estimado através de um ferramental bayesiano do tipo MCMC por questões de identificação. A validade do modelo no sentido de capturar as variações de regime é demonstrada através de experimento de Montecarlo, bem como é evidenciada a necessidade da modelar não normalidades na distribuição dos dados de alta frequência visando inferência.

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Islam, Abu Hena Md Mamnul, and Md Faisal. "Investment Diversification : A study on six European Countries." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet (USBE), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54671.

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"It is the part of a wise man to keep himself today for tomorrow, and not venture all his eggs in one basket." - Don Quixote (Part I, Book III, Chapter 9) by Miguel de Cervantes Saavedra [1547-1616] This research aimed to investigate whether it is possible for investors to diversify their investment and reduce the risk of investment by investing in the selected European countries. Stock market cointegration and international diversification is a widely accepted topic among the scholars and academics in recent years. This current study is motivated from the significant amount of interesting studies in this field. A combination of not perfectly positively correlated instruments gives the investor an opportunity to gain from portfolio diversification. Similarly, Investors can attain diversification benefit if one country’s stock market is not cointegrated with other country’s stock market. Six European countries and a time frame of ten years (January, 2001 to December, 2010) have been taken into consideration for the purpose of this research. The countries are UK, Denmark, Germany, Spain, Poland, and Czech Republic. The time period of the study is divided into two sub period to observe the recent crisis effect on these selected countries. A quantitative approach is adopted in the research. We used an econometric model for this research which is Johansen and Juselius multivariate cointegration approach. The evidence from the study suggest that although cointegration exists among the selected countries in some extent, investors can still get some diversification opportunity by investing in the emerging countries (Czech Republic and Poland). This study is unique in the sense that in our research, we wanted to fill the research gap by combining new and old EU member countries with the latest time period of study and also considered the recent crisis effect. This study has a number of implications on portfolio managers, policy makers, and academic scholars.

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CHOLIFIHANI, Muhammad. "Debt Service - Income Nexus: A Cointegration Analysis of Indonesia." 名古屋大学大学院国際開発研究科, 2008. http://hdl.handle.net/2237/10584.

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Reiakvam, Oddvar Hallset, and Stian Borgen Thyness. "Pairs Trading in the Aluminum Market : A Cointegration Approach." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2011. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-15237.

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This paper applies various ways of constructing statistical arbitrage trading rules for aluminum securities. The paper use daily observations of stocks, futures and two securities supposed to mirror the return of physical aluminum. We employ several sophisticated analysis of thestatistical properties of these securities and how they relate to each other. This paper appliesEngle-Granger and Johansen tests for cointegration to identify suitable securities for pairstrading. The paper is useful for speculators and hedge fund managers who want to increase theirrisk adjusted returns, as our analysis shows that trading sector neutral positions instead ofholding passive long positions in aluminum securities have significantly higher risk adjustedreturns. Our methodology is not unique for aluminum and can be transferred to other areas suchas oil or precious metals.

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Rodriguez, Gabriel. "Unit root, outliers and cointegration analysis with macroeconomic applications." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0028/NQ48794.pdf.

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Hoang, Nam Trung. "Essays on panel unit roots and panel cointegration tests." Connect to online resource, 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3273710.

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Zheng, Chen. "Integration of Chinese agricultural commodity markets : a cointegration approach." Thesis, University of British Columbia, 2013. http://hdl.handle.net/2429/44484.

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The integration of spatially separated markets was accelerated by intense trade in the last few decades. China started to open its markets since 1978 and now it plays an important role in world trade. However, China’s impact is less pronounced on agricultural commodity markets, and its impact varies across different commodities. This study discusses the prices performance of corn, soybean, and wheat in China and the U.S. We examine the integration process of Chinese agricultural commodity markets after China’s entry to WTO (i.e. 2004-2012). This study applies the cointegration test with and without a structural change. We detect the cointegration relationship between soybean prices in China and the U.S., but we observe such relationship does not exist in corn and wheat markets within China and the U.S.

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ROTOLO, TOMMASO. "Business Cycle and Barter Trading in ModernEconomics : Cointegration approach." Thesis, Mittuniversitetet, Avdelningen för ekonomivetenskap och juridik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-19567.

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Hubana, Sanda. "A cointegration and causality analysis of Scandinavian stock markets." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-22181.

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Algarhi, Amr Saber Ibrahim. "Essays on long memory time series and fractional cointegration." Thesis, University of Exeter, 2013. http://hdl.handle.net/10871/13791.

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The dissertation considers an indirect approach for the estimation of the cointegrating parameters, in the sense that the estimators are jointly constructed along with estimating other nuisance parameters. This approach was proposed by Robinson (2008) where a bivariate local Whittle estimator was developed to jointly estimate a cointegrating parameter along with the memory parameters and the phase parameters (discussed in chapter 2). The main contributions of this dissertation is to establish, similar to Robinson (2008), a joint estimation of the memory, cointegrating and phase parameters in stationary and nonstationary fractionally cointegrated models in a multivariate framework. In order to accomplish such task, a general shape of the spectral density matrix, first noted in Davidson and Hashimzade (2008), is utilised to cover multivariate jointly dependent stationary long memory time series allowing more than one cointegrating relation (discussed in chapter 3). Consequently, the notion of the extended discrete Fourier transform is adopted based on the work of Phillips (1999) to allow for the multivariate estimation to cover the non stationary region (explained in chapter 4). Overall, the estimation methods adopted in this dissertation follows the semiparametric approach, in that the spectral density is only specified in a neighbourhood of zero frequency. The dissertation is organised in four self-contained chapters that are connected to each other, in additional to this introductory chapter: • Chapter 1 discusses the univariate long memory time series analysis covering different definitions, models and estimation methods. Consequently, parametric and semiparametric estimation methods were applied to a univariate series of the daily Egyptian stock returns to examine the presence of long memory properties. The results show strong and significant evidence of long memory in the Egyptian stock market which refutes the hypothesis of market efficiency. • Chapter 2 expands the analysis in the first chapter using a bivariate framework first introduced by Robinson (2008) for long memory time series in stationary system. The bivariate model presents four unknown parameters, including two memory parameters, a phase parameter and a cointegration parameter, which are jointly estimated. The estimation analysis is applied to a bivariate framework includes the US and Canada inflation rates where a linear combination between the US and Canada inflation rates that has a long memory less than the two individual series has been detected. • Chapter 3 introduces a semiparametric local Whittle (LW) estimator for a general multivariate stationary fractional cointegration using a general shape of the spectral density matrix first introduced by Davidson and Hashimzade (2008). The proposed estimator is used to jointly estimate the memory parameters along with the cointegrating and phase parameters. The consistency and asymptotic normality of the proposed estimator is proved. In addition, a Monte Carlo study is conducted to examine the performance of the new proposed estimator for different sample sizes. The multivariate local whittle estimation analysis is applied to three different relevant examples to examine the presence of fractional cointegration relationships. • In the first three chapters, the estimation procedures focused on the stationary case where the memory parameter is between zero and half. On the other hand, the analysis in chapter 4, which is a natural progress to that in chapter 3, adjusts the estimation procedures in order to cover the non-stationary values of the memory parameters. Chapter 4 expands the analysis in chapter 3 using the extended discrete Fourier transform and periodogram to extend the local Whittle estimation to non stationary multivariate systems. As a result, the new extended local Whittle (XLW) estimator can be applied throughout the stationary and non stationary zones. The XLW estimator is identical to the LW estimator in the stationary region, introduced in chapter 3. Application to a trivariate series of US money aggregates is employed.

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Sethapramote, Yuthana. "Testing for unit roots and cointegration in heterogeneous panels." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/54812/.

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This thesis undertakes a Monte Carlo study to investigate the finite sample properties of several panel unit root and cointegration tests. To this end, we consider a number of different experiments which potentially affect the properties of the tests. We first consider panel unit root tests in heterogenous panels. Application of the panel tests of Im, Pesaran and Shin (2003) (IPS), and Maddala and Wu (1999) (MW) increases their power over the standard ADF test. However, the power of the tests is significantly diminished when the panel is dominated by the non-stationary series. Neglecting the presence of cross-sectional dependence results in serious size distortions. In view of this, a variety of methods are applied to correct the size distortions. However, the power of all tests is diminished as the cross-correlations reduce the amount of independent information in the panel. The simulation results from the panel cointegration tests extend the findings of the unit root tests to multivariate cases. The likelihood-based panel rank test of Larsson, Lyhagen and Lothgren (2001) is found to be more powerful than the residual-based panel tests of IPS and MW, but slightly oversized in moderate sample sizes (Z). The effects of a mixed panel and of cross-correlations in the errors are similar to those of panel unit root tests. Therefore, we again, use the bootstrap method and the Cross-sectionally augmented IPS test (CIPS) ofPesaran (2003) to correct the size distortions. The presence of structural breaks affects the size and power properties of any panel unit root tests which fail to cope with it. When the break dates are known, the exogenous break panel LM test is applied, to control the effect of structural shifts. In addition, the endogenous break selection procedures are used to estimate the break points. The endogenous break panel LM test also performs considerably well in terms of the size, power and accuracy with which the true break points are estimated. Finally, application of the panel unit root and cointegration tests provide some evidence in support of the existence of long-run PPP and the monetary model in Asia Pacific countries. In addition, the presence of structural breaks as the impact of the currency crisis is also detected. However, evidence is found to be sensitive to the choice of deterministic terms (intercepts, trends), the methods used to estimate the panel test statistic (e.g. SUR and CIPS) and the break-point selection criteria.

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Muleta-Erena, Temesgen. "Cointegration analysis : exports and economic performance in developing economies." Thesis, University of West London, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302706.

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Li, Hongyi. "Small sample inference in unit roots and cointegration models." Connect to resource, 1995. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1263403552.

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Souza, Igor Viveiros Melo. "Tests for Non-Cointegration based on the Frequency Domain." Universidade Federal de Minas Gerais, 2014. http://hdl.handle.net/1843/BUOS-9U8HG9.

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This thesis proposes to study the fractional cointegration in the frequency domain. Here is investigated the restrictions that the absence or the presence of cointegration imposes on the determinant of the spectral density matrix of a vector of bivariate series, integrated of order 1, when evaluated at the rst dierence. The errors of the cointegration relationship are allowed to be fractionally integrated. In this study it is shown that the determinant of the spectral density matrix is a power function of the parameter that measures reduction of the order of integration of the error series (denoted here by b) for a set of Fourier frequencies close to the origin. From this, two proposals for the estimation of the cointegrating parameter b are suggested. Tests under the null hypothesis of noncointegration are derived from these estimators and their asymptotic properties are discussed. A nite sample investigation was conducted in order to evaluate the empirical performance of the estimators and tests by calculating the bias, the mean square error, the signicance levels and the power. The results suggest that tests have empirical signicance levels close to nominal levels. Furthermore, the power of the tests shows a similar performance compared with the performance of other classical tests in cointegration literature.
Esta tese se propõe a estudar a cointegração fracionária no domínio da frequência. Aqui investigam-se as restrições que a ausência ou não de cointegração impõe sobre o determinante da matriz de densidade espectral de um vetor de séries bivariado, integrado de ordem 1, quando avaliado na primeira diferença. Permite-se, aqui, que os erros da relação de cointegração sejam fracionalmente integrados. Neste estudo é mostrado que o determinante da matriz de densidade espectral é uma função potência do parâmetro que mensura a redução na ordem de integração do erro (denotado por b) para um conjunto de frequências de Fourier próximas da origem. A partir disto, duas propostas para a estimação do parâmetro de cointegração b são sugeridas. Testes sob a hipótese nula de não cointegração são derivados a partir dos estimadores apresentados e suas propriedades assintóticas discutidas. Estudos com amostras nitas foram realizados com o objetivo de avaliar o desempenho empírico dos estimadores e dos testes propostos através do calculo do vício, do erro quadrático médio, dos níveis de signicância e do poder. Os resultados sugerem que os testes possuem níveis de signicância empíricos próximos aos níveis nominais. Além disto, o poder dos testes apresenta um desempenho similar quando comparado com o desempenho de outros testes clássicos na literatura de cointegração.

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Englund, Jonas. "Testing for Cointegration in Multivariate Time Series : An evaluation of the Johansens trace test and three different bootstrap tests when testing for cointegration." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-30067.

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In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not robust in presence of heteroscedasticity, and tests based on resampling methods have been proposed to solve the problem. The tests that are evaluated is the Johansen trace test, nonparametric bootstrap test and two different types of wild bootstrap tests. The wild bootstrap test is a resampling method that attempts to mimic the GARCH model by multiplying each residual by a stochastic variable with an expected value of zero and unit variance. The wild bootstrap tests proved to be superior to the other tests, but not as good as earlier indicated. The more the error terms differs from white noise, the worse these tests are doing. Although the wild bootstrap tests did not do a very bad job, the focus of further investigation should be to derive tests that does an even better job than the wild bootstrap tests examined here.

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Leykam, Kilian. "Cointegration and Volatility in the European Natural Gas Spot Markets." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03606241003/$FILE/03606241003.pdf.

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Li, Dao. "Residual-based test for Nonlinear Cointegration with application in PPPs." Thesis, Högskolan Dalarna, Statistik, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:du-3433.

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Nested by linear cointegration first provided in Granger (1981), the definition of nonlinear cointegration is presented in this paper. Sequentially, a nonlinear cointegrated economic system is introduced. What we mainly study is testing no nonlinear cointegration against nonlinear cointegration by residual-based test, which is ready for detecting stochastic trend in nonlinear autoregression models. We construct cointegrating regression along with smooth transition components from smooth transition autoregression model. Some properties are analyzed and discussed during the estimation procedure for cointegrating regression, including description of transition variable. Autoregression of order one is considered as the model of estimated residuals for residual-based test, from which the teststatistic is obtained. Critical values and asymptotic distribution of the test statistic that we request for different cointegrating regressions with different sample sizes are derived based on Monte Carlo simulation. The proposed theoretical methods and models are illustrated by an empirical example, comparing the results with linear cointegration application in Hamilton (1994). It is concluded that there exists nonlinear cointegration in our system in the final results.

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Schweikert, Karsten [Verfasser], and Robert [Akademischer Betreuer] Jung. "Modelling nonlinearities in cointegration relationships / Karsten Schweikert ; Betreuer: Robert Jung." Hohenheim : Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim, 2017. http://d-nb.info/113904835X/34.

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41

Kurita, Takamitsu. "Econometric modelling using I(1) and I(2) cointegration analysis." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.433371.

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Voges, Michelle [Verfasser]. "Essays on fractional cointegration and seasonal long memory / Michelle Voges." Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2019. http://d-nb.info/1197227512/34.

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OMTZIGT, Pieter. "Essays on Cointegration Analysis." Doctoral thesis, 2003. http://hdl.handle.net/1814/5024.

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Defence date: 13 December 2003
Supervisor: S. Johansen
Thesis first made available online in October 2012.
Essays in cointegration analysis never was the working title of the work in progress for the last seven years. I started this project with the aim of doing applied research in economics and econometrics. Hence the last chapter of this thesis, Money demand in the Netherlands, was the first chapter written. Yet that very first version, written in Florence in 1998, bears little resemblance to the present version, included in this thesis. The only substantial agreement with the first version are the data used: the short term interest rates were collected from private banks in the Netherlands: as they increasingly offered above money-market interest rates to retail investors, those official interest rates were not relevant for retail investors and even small firms. That interesting problem - the irrelevance of money market rates to money demand - was thus solved rather quickly. Yet the other five chapters all evolved from practical problems, I ran into, during the cointegration analysis of the Dutch data set. I shall thus very briefly describe the cointegrated VAR models and then discuss in turn the problems, these chapters deal with. Each chapter is stand-alone, in that it can be read without having to read any of the others first: this also means that short general overviews of the methodology are presented in each one of them and not repeated here. This introduction just points at the general problems tackled in the papers. For each of the chapters, Matlab programs are available to replicate the results. These are included on a CD, which is part of this thesis. Two programs have been developed into stand-alone packages: 'me2' for maximum likelihood estimation of I(2) models and 'datamine' for the automatic identification and restriction of the cointegration space. Both of them are used in the replication of the results. The replication notes are thus a good starter for using these programs.

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"Cointegration and exchange market efficiency." SFB Adaptive Information Systems and Modelling in Economics and Management Science, 1999. http://epub.wu-wien.ac.at/dyn/dl/wp/epub-wu-01_1b1.

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HUANG, LU CHUN, and 呂俊煌. "Fractional Cointegration and Futures Hedging." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/67376145085451001028.

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碩士
國立臺北大學
企業管理學系
88
The major function of index futures is how to avoid the risk of the price of the spots violates. And the performance of hedging strategies depends on the adequacy of hedging ratios. Therefore, how to decide the hedging ratios is the major part when we try to set up our hedging strategies and afterward to measure the effectiveness. This research adopts the daily datas produced by Taiex figures and the spots'' earnings ,tries to built FIEC model. Besides, this research also used some other statstics models like VAR model、EC model and ARFIMA model to set up the most effective hedging strategy. And here''s the findings: 1. There exits auto correction relationship between the spots and the futures. So we can use that to build the bias modification model even further. 2. The researcher found that the hedging ratios produced by each models is about between 0.7601 and 0.9370 and all ratios produced is smaller than 1-the ratio which traditional hedging theories assumes. Therefore, the traditional hedging theories may go too far. 3. In the correlation between the spots and the futures, we found that the price of the futures has deep impact on the spots'' price. 4. The best hedging ratio is about 0.9370 based on the research.

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"Cointegration pairs trading strategy on derivatives." 2013. http://library.cuhk.edu.hk/record=b5549271.

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在現今的社會，協整技術已被廣泛應用於金融和計量經濟領域，特別用於構建股票市場的統計套利策略。在這一篇論文中，我們主要考察在衍生品市場中，基於協整技術的套利交易策略，這一策略的主要研究對象是隱含波動率。利用隱性波動率的線性組合的均值回歸的特性，通過配對兩隻帶有正利差(如theta) 的短期平價歐式跨式期權來獲利。同時，構建實際波動率的模型和預測未來實際波動率的模型將會用於補充這一交易策略的不足，隱性一實際條件和Gamma-Vega條件被引入來提高交易策略的效率。這一策略的績效分析是基於三年的歷史外匯期權數據。從實證數據中，基於協整技術的策略能賺取利潤，而且Vega在利潤中起著重要的作用，並且無論是隱性一實際條件還是Gamma-Vega條件都是有效的。
The notion of cointegration has been widely used in finance and econometrics, in particular in constructing statistical arbitrage strategies in the stock market. In this thesis, an arbitrage trading strategy for derivatives based on cointegration is studied to account for the volatility factor. Pairs of short dated at-the-money straddles of European options with positive net carry (i.e. theta) are used to capture the mean-reverting property of the linear combinations of implied volatilities. Furthermore, modeling and forecasting realized volatility are also considered as a supplement to the trading strategy. Implied-Realized Criertion and Gamma-Vega Criterion are introduced to improve the trading strategy. A performance analysis is conducted with a 3-year historical data of Foreign Exchange Options. From the empirical results, the portfolio based on the cointegration strategy makes a profit, where Vega plays a dominant role, and either the Implied-Realized Criertion or the Gamma-Vega Criterion is effective.
Detailed summary in vernacular field only.
Pun, Lai Fan.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2013.
Includes bibliographical references (leaves 43-45).
Abstracts also in Chinese.
List of Tables --- p.v
List of Figures --- p.vi
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Basic Ideas --- p.4
Chapter 2.1 --- Cointegration and Johansen’s Methodology --- p.4
Chapter 2.1.1 --- Cointegration --- p.4
Chapter 2.1.2 --- Johansen’s Methodology --- p.5
Chapter 2.2 --- Cointegration Pairs Trading Strategy --- p.6
Chapter 2.3 --- Modelling and Forecasting Realized Volatility --- p.8
Chapter 3 --- Cointegration Pairs Trading Strategy On Derivatives --- p.10
Chapter 3.1 --- Trading On Implied Volatility --- p.10
Chapter 3.2 --- Cointegration Trading Strategy --- p.12
Chapter 3.3 --- Greek Letters --- p.13
Chapter 3.3.1 --- Requirements of the Trade --- p.13
Chapter 3.3.2 --- Approximation of the Expected P/L --- p.15
Chapter 3.4 --- Foreign Exchange Options --- p.18
Chapter 3.4.1 --- Cointegration Pairs --- p.19
Chapter 3.4.2 --- Trading Process --- p.21
Chapter 3.4.3 --- More Examples --- p.22
Chapter 4 --- Further Trading Strategies --- p.26
Chapter 4.1 --- Estimation of Realized Volatility --- p.26
Chapter 4.2 --- Implied-Realized Criterion --- p.27
Chapter 4.3 --- Gamma-Vega Criterion --- p.29
Chapter 4.4 --- Summary --- p.32
Chapter 5 --- Conclusion and Further Discussion --- p.37
A --- p.39
B --- p.41
Bibliography --- p.43

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"Stochastic Differential Longevity Game with Cointegration." 2016. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1292611.

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48

"Residual-based test for fractional cointegration." 2004. http://library.cuhk.edu.hk/record=b5892144.

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Chan Chi-Ho.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 68-69).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Integration and Fractional Integration --- p.1
Chapter 1.2 --- Classical and Fractional Cointegration --- p.3
Chapter 1.3 --- Residual-Based Test for Cointegration --- p.6
Chapter 1.4 --- The Fractional Dickey-Fuller Test --- p.9
Chapter 2 --- Preliminary Limit Theorems --- p.12
Chapter 2.1 --- Limit Theorem for 0 ≤d < 0.5 --- p.14
Chapter 2.2 --- Limit Theorem for 0.5 < d ≤1 --- p.23
Chapter 3 --- The Asymptotics of the Residual-Based FDF --- p.26
Chapter 3.1 --- Asymptotics for OLS-FDF --- p.30
Chapter 3.2 --- Asymptotics for CO-FDF --- p.36
Chapter 4 --- Finite Sample Experiment --- p.41
Chapter 4.1 --- Empirical Size --- p.43
Chapter 4.2 --- Empirical Power with Known d1 --- p.48
Chapter 4.3 --- Empirical Power with Estimated d1 --- p.55
Chapter 4.4 --- The Augmented Fractional Dickey-Fuller --- p.60
Chapter 5 --- Conclusions --- p.66
Reference --- p.68

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Wu, Po-sung, and 吳柏松. "Trading Strategy Based on Cointegration Pairs." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/4j74ys.

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碩士
國立中山大學
應用數學系研究所
103
Pairs trading is a statistical arbitrage strategy which gains profits via short-term deviations from a long-run equilibrium between two stocks. Traders take a long position on underperforming stock, and a short position on outperforming one when the spreads loss equilibrium. Selection of the stock pairs and timing of entering a position are two important factors affecting the profits of pairs trading. In this work, we use the cointegrated model to select the pairs of stocks, and use the cointegrated coefficient to obtain standardized spreads. We set spread thresholds to determine the timing of entering positions, and close the position to make a profit when the spreads return to balance. We explore the effect of the thresholds on the profits. In addition, we use the squared log returns to construct equilibrium models for stock volatility. Volatility imbalance are used to provide information for closing the position early. For practical implementation, we establish dynamic cointegration and volatility models using fixed-length data. We update the models daily to obtain new spreads, and enter a position when the spreads cross the set thresholds. In empirical study, we selected around ten thousand sets of stock pairs from the four major sectors of S&;P 500 which have cointegration relationship. We compare the profits of different trading strategies and explore the effect of several factors on profits.

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50

Chen, Yen-Chih, and 陳彥志. "Exchange Rates Forecast using Cointegration Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/15992373025164556065.

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Abstract:

碩士
國防管理學院
國防財務資源研究所
95
Taiwan is an export-oriented economy unity, international trade plays an important role in Taiwan economics development; Therefore, intensive fluctuations of exchange rate has a great impact on its economy. If we can formulate an effective forecasting model of the exchange rate, this can help the enterprise to hedge and Government to make exchange rate policy. Unit Root test and Johansen cointegration test are used to test monthly data from January 1991 to December 2006 to check that whether the long-run relation existed between the exchange rates and relevant macroeconomic factors such as Interest Rate, Consumer Price Index and Unemployment Rate. This study focuses on four countries including Taiwan, United States, Japan and South Korea. According to the result, we have the following conclusions. (1) Unit roots testing for exchange rates and relevant macroeconomic factors show that all the factors have the characteristics of unit roots and nonstationarity. (2) The result of cointegration test has shown that there are long run equilibrium relationships between the exchange rates and relevant macroeconomic factors in Japan and Korea, but not in Taiwan and United States. (3) Based on the results of cointegration test in Japan and Korea, we find that fluctuations of exchange rate influences on misery index. (4) There are cointergration vector and long-term equilibrium relationships in exchange rates and interest rate among cross-regions of Taiwan, United States, Japan and South Korea. (5) The exchange rate of United States, Japan and South Korea are negatively related to Taiwan exchange rate, we infer that it might imply that the Taiwan economy was in recession after 2000. In addition, the interest rate of Japan and South Korea are positive related to Taiwan interest rate, thus we posture that when the interest rate between Japan and South Korea are arising, the interest rate of Taiwan may be arise at the same time.

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