We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo ...

We consider the forecasting of cointegrated variables, and we show that at long horizons nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate forecast ...

Technical Terms Cointegration: A statistical property whereby nonstationary time series share a common long-term trend, despite short-term fluctuations.

This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of ...

ABSTRACT Hedging methods are divided into single-period and multiperiod forms. After reviewing some well-known hedging algorithms, two new procedures called the Dickey-Fuller optimal (DFO) method and ...

ABSTRACT In this paper we show how cointegration can be applied to capture the joint dynamics of multiple energy spot prices. For an example system we study the Title Transfer Facility, the Zeebrugge ...

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of ...