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Artykuły w czasopismach na temat "Cointegration"
Gallimore, Paul, J. Andrew Hansz, Wikrom Prombutr i Ying Zhang. "International Real Estate Review". International Real Estate Review 17, nr 3 (31.12.2014): 359–94. http://dx.doi.org/10.53383/100189.
Pełny tekst źródłaCOOK, STEVEN. "ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005". Annals of Financial Economics 02, nr 01 (czerwiec 2006): 0650003. http://dx.doi.org/10.1142/s2010495206500035.
Pełny tekst źródłaBernstein, David, i Bent Nielsen. "Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient". Econometrics 7, nr 1 (18.01.2019): 6. http://dx.doi.org/10.3390/econometrics7010006.
Pełny tekst źródłaAue, Alexander, Lajos Horváth, Clifford Hurvich i Philippe Soulier. "LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS". Econometric Theory 30, nr 3 (18.11.2013): 536–79. http://dx.doi.org/10.1017/s0266466613000406.
Pełny tekst źródłaKim, Soohyeon, i Surim Oh. "Impact of US Shale Gas on the Vertical and Horizontal Dynamics of Ethylene Price". Energies 13, nr 17 (31.08.2020): 4479. http://dx.doi.org/10.3390/en13174479.
Pełny tekst źródłaSugita, Katsuhiro. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model". International Journal of Economics and Finance 9, nr 3 (9.02.2017): 49. http://dx.doi.org/10.5539/ijef.v9n3p49.
Pełny tekst źródłaShin, Yongcheol. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration". Econometric Theory 10, nr 1 (marzec 1994): 91–115. http://dx.doi.org/10.1017/s0266466600008240.
Pełny tekst źródłaBierens, Herman J., i Luis F. Martins. "TIME-VARYING COINTEGRATION". Econometric Theory 26, nr 5 (5.03.2010): 1453–90. http://dx.doi.org/10.1017/s0266466609990648.
Pełny tekst źródłaLEAN, HOOI HOOI, PARESH NARAYAN i RUSSELL SMYTH. "EXCHANGE RATE AND STOCK PRICE INTERACTION IN MAJOR ASIAN MARKETS: EVIDENCE FOR INDIVIDUAL COUNTRIES AND PANELS ALLOWING FOR STRUCTURAL BREAKS". Singapore Economic Review 56, nr 02 (czerwiec 2011): 255–77. http://dx.doi.org/10.1142/s0217590811004250.
Pełny tekst źródłaDao, Phong B. "On Cointegration Analysis for Condition Monitoring and Fault Detection of Wind Turbines Using SCADA Data". Energies 16, nr 5 (1.03.2023): 2352. http://dx.doi.org/10.3390/en16052352.
Pełny tekst źródłaRozprawy doktorskie na temat "Cointegration"
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.
Pełny tekst źródłaDiss. Stockholm : Handelshögsk., 2001 [4], iv s., s. 1-23: sammanfattning, s. 25-110, [5] s.: 4 uppsatser
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.
Pełny tekst źródłaPashourtidou, Nicoletta. "Cointegration in misspecified models". Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252324.
Pełny tekst źródłaClements, Michael P. "Cointegration and dynamic econometric modelling". Thesis, University of Oxford, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334980.
Pełny tekst źródłaGiese, Julia V. "Essays in Applied Cointegration Analysis". Thesis, University of Oxford, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.517139.
Pełny tekst źródłaHuber, Florian, i Thomas Zörner. "Threshold cointegration and adaptive shrinkage". WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5577/1/wp250.pdf.
Pełny tekst źródłaSeries: Department of Economics Working Paper Series
Schmidt, Arlen David. "Pairs Trading: A Cointegration Approach". Thesis, Discipline of Finance, 2009. http://hdl.handle.net/2123/4072.
Pełny tekst źródłaÖrsal, Deniz Dilan Karaman. "Essays on panel cointegration testing". Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2009. http://dx.doi.org/10.18452/15894.
Pełny tekst źródłaThis 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).
ARMILLOTTA, EMANUELE. "Issues in Nonlinear Cointegration Modelling". Doctoral thesis, Università Politecnica delle Marche, 2017. http://hdl.handle.net/11566/251236.
Pełny tekst źródłaLiterature 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.
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.
Pełny tekst źródłaKsiążki na temat "Cointegration"
Rao, B. Bhaskara, red. Cointegration. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2.
Pełny tekst źródłaHansen, Peter Reinhard. Workbook on cointegration. Oxford [England]: Oxford University Press, 1998.
Znajdź pełny tekst źródłaTsolaki, E. Cointegration in time series. Manchester: UMIST, 1996.
Znajdź pełny tekst źródłaHussain, Shakir. On cointegration and persistence. Stockholm, Sweden: Almqvist & Wiksell International, 1995.
Znajdź pełny tekst źródłaFund, International Monetary, red. Cointegration and long-horizon forecasting. Washington, D.C: International Monetary Fund, 1997.
Znajdź pełny tekst źródła1939-, Bhaskara Rao B., red. Cointegration for the applied economist. New York: St. Martin's Press, 1994.
Znajdź pełny tekst źródłaDavidson, James E. H. Cointegration in linear dynamic systems. London: London School of Economics and Political Science, 1986.
Znajdź pełny tekst źródłaHendry, David F. Cointegration and dynamics in economics. Amsterdam: North-Holland, 1997.
Znajdź pełny tekst źródłaHylleberg, Svend. Cointegration and error correction mechanisms. Aarhus, Denmark: Institute of Economics, University of Aarhus, 1988.
Znajdź pełny tekst źródłaChristoffersen, Peter F. Cointegration and long-horizon forecasting. Philadelphia: Federal Reserve Bank of Philadelphia, Economic Research Division, 1997.
Znajdź pełny tekst źródłaCzęści książek na temat "Cointegration"
Rao, B. Bhaskara. "Editor’s Introduction". W Cointegration, 1–8. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_1.
Pełny tekst źródłaDickey, David A., Dennis W. Jansen i Daniel L. Thornton. "A Primer on Cointegration with an Application to Money and Income". W Cointegration, 9–45. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_2.
Pełny tekst źródłaHolden, Darryl, i Roger Perman. "Unit Roots and Cointegration for the Economist". W Cointegration, 47–112. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_3.
Pełny tekst źródłaPerron, Pierre. "Trend, Unit Root and Structural Change in Macroeconomic Time Series". W Cointegration, 113–46. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_4.
Pełny tekst źródłaMehra, Yash P. "Wage Growth and the Inflation Process: An Empirical Approach". W Cointegration, 147–59. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_5.
Pełny tekst źródłaOtto, Glenn. "Diagnostic Testing: An Application to the Demand for M1". W Cointegration, 161–84. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_6.
Pełny tekst źródłaKirchgässner, Gebhard, Jürgen Wolters i Uwe Hassler. "Cointegration". W Introduction to Modern Time Series Analysis, 205–49. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-33436-8_6.
Pełny tekst źródłaKirchgässner, Gebhard, i Jürgen Wolters. "Cointegration". W Introduction to Modern Time Series Analysis, 199–239. Berlin, Heidelberg: Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/978-3-540-73291-4_6.
Pełny tekst źródłaBurgess, A. Neil. "Cointegration". W Perspectives in Neural Computing, 181–91. London: Springer London, 2002. http://dx.doi.org/10.1007/978-1-4471-0151-2_21.
Pełny tekst źródłaZivot, Eric, i Jiahui Wang. "Cointegration". W Modeling Financial Time Series with S-Plus®, 415–60. New York, NY: Springer New York, 2003. http://dx.doi.org/10.1007/978-0-387-21763-5_12.
Pełny tekst źródłaStreszczenia konferencji na temat "Cointegration"
Diniz, M., C. A. B. Pereira, J. M. Stern, Marcelo de Souza Lauretto, Carlos Alberto de Bragança Pereira i Julio Michael Stern. "FBST for Cointegration Problems". W BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING: Proceedings of the 28th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering. AIP, 2008. http://dx.doi.org/10.1063/1.3038994.
Pełny tekst źródłaXia, Zeyu, i Changle Lin. "Cointegration identification with metric learning". W Fifth International Conference on Computer Information Science and Artificial Intelligence (CISAI 2022), redaktor Yuanchang Zhong. SPIE, 2023. http://dx.doi.org/10.1117/12.2667621.
Pełny tekst źródłaÖzmen, Mehmet, i Sera Şanlı. "Seasonal Cointegration Approach on Expenditure Based Gross Domestic Product and Its Some Sub-Components for Turkey". W International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c09.01980.
Pełny tekst źródłaDao, P. B. "Cointegration Modelling for Health and Condition Monitoring of Wind Turbines - An Overview". W Floating Offshore Energy Devices. Materials Research Forum LLC, 2022. http://dx.doi.org/10.21741/9781644901731-2.
Pełny tekst źródłaWORDEN, KEITH, i ELIZABETH J. CROSS. "ON ENGLE-GRANGER COINTEGRATION USING TREED GAUSSIAN PROCESSES". W Structural Health Monitoring 2023. Destech Publications, Inc., 2023. http://dx.doi.org/10.12783/shm2023/37058.
Pełny tekst źródłaŞanlı, Sera, i Mehmet Özmen. "A Different Look at Cointegration Relationship between Quarterly Inflation Rates and Growth via Seasonal Integration Tests". W International Conference on Eurasian Economies. Eurasian Economists Association, 2019. http://dx.doi.org/10.36880/c11.02293.
Pełny tekst źródłaHongming Yang, Enfeng He, Xiaojiao Tong i Zhuo-wa Luo. "Panel cointegration modelling and forecasting of power tariff". W 2008 5th International Conference on Electrical Engineering, Computing Science and Automatic Control (CCE). IEEE, 2008. http://dx.doi.org/10.1109/iceee.2008.4723387.
Pełny tekst źródłaMohan, Anusree, i P. Balasubramanian. "Factors affecting inflation in India: A cointegration approach". W 2015 International Conference on Advances in Computing, Communications and Informatics (ICACCI). IEEE, 2015. http://dx.doi.org/10.1109/icacci.2015.7275717.
Pełny tekst źródłaChun Ping, Chang, i Lee Chien-Chiang. "Multivariate Panel Cointegration Models and Money Demand Function". W 9th Joint Conference on Information Sciences. Paris, France: Atlantis Press, 2006. http://dx.doi.org/10.2991/jcis.2006.154.
Pełny tekst źródłaJawadi, Fredj, i Patrick Leoni. "Threshold Cointegration Relationships between Oil and Stock Markets". W 2009 International Conference on Management and Service Science (MASS). IEEE, 2009. http://dx.doi.org/10.1109/icmss.2009.5301962.
Pełny tekst źródłaRaporty organizacyjne na temat "Cointegration"
Christoffersen, Peter, i Francis Diebold. Cointegration and Long-Horizon Forecasting. Cambridge, MA: National Bureau of Economic Research, październik 1997. http://dx.doi.org/10.3386/t0217.
Pełny tekst źródłaMüller, Ulrich, i Mark Watson. Low-Frequency Robust Cointegration Testing. Cambridge, MA: National Bureau of Economic Research, sierpień 2009. http://dx.doi.org/10.3386/w15292.
Pełny tekst źródłaCampbell, John, i Robert Shiller. Cointegration and Tests of Present Value Models. Cambridge, MA: National Bureau of Economic Research, kwiecień 1986. http://dx.doi.org/10.3386/w1885.
Pełny tekst źródłaBansal, Ravi, Robert Dittmar i Dana Kiku. Cointegration and Consumption Risks in Asset Returns. Cambridge, MA: National Bureau of Economic Research, maj 2007. http://dx.doi.org/10.3386/w13108.
Pełny tekst źródłaEngle, Robert, i Joao Victor Issler. Estimating Sectoral Cycles Using Cointegration and Common Features. Cambridge, MA: National Bureau of Economic Research, listopad 1993. http://dx.doi.org/10.3386/w4529.
Pełny tekst źródłaFlórez, Luz Adriana, Karen L. Pulido-Mahecha i Mario Andrés Ramos-Veloza. Okun´s law in Colombia: a non-linear cointegration. Bogotá, Colombia: Banco de la República, luty 2018. http://dx.doi.org/10.32468/be.1039.
Pełny tekst źródłaHall, Stephen. Time-Series Methods: Dynamic Modeling, Non-Stationarity, and Cointegration. Instats Inc., 2023. http://dx.doi.org/10.61700/vksf9usteps6f469.
Pełny tekst źródłaHall, Stephen. Time-Series Methods: Dynamic Modeling, Non-Stationarity, and Cointegration. Instats Inc., 2022. http://dx.doi.org/10.61700/nyrm5o8t47qqa469.
Pełny tekst źródłaMelo-Velandia, Luis Fernando, John Jairo León i Dagoberto Saboyá. Cointegration vector estimation by dols for a three-dimensional panel. Bogotá, Colombia: Banco de la República, grudzień 2007. http://dx.doi.org/10.32468/be.474.
Pełny tekst źródłaHorvath, Michael T., i Mark Watson. Testing for Cointegration When Some of the Contributing Vectors are Known. Cambridge, MA: National Bureau of Economic Research, grudzień 1994. http://dx.doi.org/10.3386/t0171.
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