Cointegration: Overview and Development

DOI10.1007/978-3-540-71297-8_29MaRDI QIDQ3646976zbMATH OpenOpenAlexFDO

Authors Søren Johansen

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_29

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(32)

• Statistical analysis of cointegration vectors
• Analysis of cointegration vectors using the GMM approach
• A note on cointegration and control
• An enlarged definition of cointegration
• Analysis of cointegrated VARMA processes
• The cointegrated vector autoregressive model with general deterministic terms
• Numerically stable cointegration analysis
• Cointegration and speed of convergence to equilibrium
• On non-stationary solutions to MSDDEs: representations and the cointegration space
• Identification robust inference in cointegrating regressions
• Interpreting cointegrating vectors and common stochastic trends
• On the structure of cointegration
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
• scientific article; zbMATH DE number 53501 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• scientific article; zbMATH DE number 1069579 (Why is no real title available?)
• Cointegration methodology for psychological researchers: an introduction to the analysis of dynamic process systems
• scientific article; zbMATH DE number 1907870 (Why is no real title available?)
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• Estimating systems of trending variables
• Haavelmo's probability approach and the cointegrated VAR
• Recent Advances in Cointegration Analysis
• Cointegration of control parameter time series measured on motors at the stage of assemblage
• Numerical analysis to stable cointegration for time series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
• A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
• Editorial: Twenty years of cointegration
• Some thoughts on the development of cointegration
• Cointegration in a historical perspective
• A characterization of vector autoregressive processes with common cyclical features
• Joint modeling of cointegration and conditional heteroscedasticity with applications

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