Common nonstationary components of asset prices

DOI10.1016/0165-1889(88)90045-0MaRDI QIDQ1102850zbMATH OpenOpenAlexFDO

Authors Peter Bossaerts

Publication date 1988

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(88)90045-0

zbMATH Keywords

cointegrationapproximate collinearitymulti-period general equilibriumPortfolio separationtime-series canonical correlation analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Recommendations

• Nonparametric cointegration analysis
• Testing for cointegration using principal components methods
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Econometric tests of rationality and market efficiency

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• A canonical analysis of multiple time series
• A functional central limit theorem for weakly dependent sequences of random variables
• An Intertemporal Capital Asset Pricing Model
• Asset Prices in an Exchange Economy
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Convergence of stochastic processes
• Testing for Common Trends
• Time Series Regression with a Unit Root

Cited in

(8)

• On alternative state space representations of time series models
• Cointegration and long-run asset allocation
• System estimators of cointegrating matrix in absence of normalising information
• Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
• Modelling the lead-lag effect between dual-class shares
• Generalized method of moments estimation for cointegrated vector autoregressive models
• Five alternative methods of estimating long-run equilibrium relationships
• Canonical dependency analysis based on squared-loss mutual information

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