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Dissertations / Theses on the topic 'Cointegration'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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1

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 cointegr
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2

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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3

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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4

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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5

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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6

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 merit
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7

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 dyn
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8

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 Be
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9

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 occ
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10

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
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11

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 mo
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12

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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13

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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14

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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15

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.<p><p><p>Chapter 1 surveys the econometric methodology of temporal aggregation for a wide range of univariate and multivariate time series models. <p><p><p>A unified overview of temporal aggregatio
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16

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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17

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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18

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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19

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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20

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
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21

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).
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22

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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23

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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Submitted by EDUARDO HINTERHOLZ (eduh17@gmail.com) on 2015-08-26T19:57:33Z No. of bitstreams: 1 DissertaçãoFinal.pdf: 1431279 bytes, checksum: dea2c0cdc148ed945cdfc8b33e86f668 (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2015-08-26T20:02:31Z (GMT) No. of bitstreams: 1 DissertaçãoFinal.pdf: 1431279 bytes, checksum: dea2c0cdc148ed945cdfc8b33e86f668 (MD5)<br>Made available in DSpace on 2015-08-27T13:12:19Z (GMT). No. of bitstreams: 1 DissertaçãoFinal.pdf: 1431279 bytes, checksum: dea2c0cdc148ed945cdfc8b33e86f668 (MD5) Previous issue dat
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24

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
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25

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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26

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
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27

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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28

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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29

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 wi
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30

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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31

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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32

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 s
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33

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 p
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34

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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35

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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36

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 (de
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37

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
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38

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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39

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
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40

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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42

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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43

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

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Defence date: 13 December 2003<br>Supervisor: S. Johansen<br>Thesis first made available online in October 2012.<br>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
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44

"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<br>國立臺北大學<br>企業管理學系<br>88<br>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 m
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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。<br>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
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47

"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.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 68-69).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Integration and Fractional Integration --- p.1<br>Chapter 1.2 --- Classical and Fractional Cointegration --- p.3<br>Chapter 1.3 --- Residual-Based Test for Cointegration --- p.6<br>Chapter 1.4 --- The Fractional Dickey-Fuller Test --- p.9<br>Chapter 2 --- Preliminary Limit Theorems --- p.12<br>Chapter 2.1 --- Limit Theorem for 0 ≤d < 0.5 --- p.14<br>Chapter 2.2 --- Lim
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49

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<br>國立中山大學<br>應用數學系研究所<br>103<br>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
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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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碩士<br>國防管理學院<br>國防財務資源研究所<br>95<br>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 rele
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