Search results for "cointegration"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
114	Jørgen Lauridsen, Reinhold Kosfeld	Spatial cointegration and heteroscedasticity.	J. Geogr. Syst.	2007	DBLP DOI BibTeX RDF	C40, J60, JEL Classifications C21, C51
50	Rui Chen 0007, Jian Wang 0037	Energy and Transportation: A Case Study in China.	IEEE Intell. Syst.	2007	DBLP DOI BibTeX RDF	cointegration analysis, economics, energy conservation, transportation
50	Dimitris Kenourgios, Aristeidis Samitas, Andreas Christodoulou	Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen.	Oper. Res.	2006	DBLP DOI BibTeX RDF	cointegration analysis, spot and forward exchange rates, Market efficiency
49		A Cointegration Analysis on the Relationship between Financial Aggregation and Regional Economic Growth.	IFITA (3)	2009	DBLP DOI BibTeX RDF	Financial Aggregation, Regional Economic Growth, Cointegration Analysis, styling
46	A. Neil Burgess	Modelling relationships between international equity markets using computational intelligence.	KES (3)	1998	DBLP DOI BibTeX RDF
45	Melike Bildirici, Özgür Ömer Ersin, Meltem Kökdener	Genetic structure, consanguineous marriages and economic development: Panel cointegration and panel cointegration neural network analyses.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
27	Qizhi He	The Influences of Liquidity Surplus on the Price of Fuel Oil Future in China.	JCAI	2009	DBLP DOI BibTeX RDF	the level of liquidity, surplus of liquidity, future market, cointegration test, error correction model
27	Qizhi He	Empirical Research on the Relationship between the Liquidity Level and the Trading Volume of Rubber Futures.	JCAI	2009	DBLP DOI BibTeX RDF	broad money supply, trading volume, rubber futures, cointegration test, error correction model
27	Shuping Wang, Jianping Li 0001, Shulin Zhang	An Analysis About Market Efficiency in International Petroleum Markets: Evidence from Three Oil Commodities.	International Conference on Computational Science (3)	2007	DBLP DOI BibTeX RDF	International petroleum markets, Futures price spot price, Risk premium, Convenience yield, Cointegration analysis, Market efficiency
27	Marinos P. Giannopoulos	Economic growth and financial development: Empirical analysis of three Scandinavian countries.	Oper. Res.	2006	DBLP DOI BibTeX RDF	cointegration, financial development, economic growth formatting, causality
23	Junping Zhao	Research on Consumption Model about Urban Households Based on Keynes' Absolute Income Hypotheses in China.	WKDD	2009	DBLP DOI BibTeX RDF
23	Ruiping Xie, Fanling Sun	Reduction in Agricultural Tax and the Income Growth of Rural Residents: An Empirical Study.	CCTA	2007	DBLP DOI BibTeX RDF	agricultural tax, income growth, reduction, empirical research
23	Lily Lin	The Influences of R&D Expenditures on Knowledge-Based Economy in Taiwan.	KES (3)	2006	DBLP DOI BibTeX RDF
23	Victor Fang, Vincent C. S. Lee	Testing the Expectations Hypothesis for Interest Rate Term Structure: Some Australian Evidence.	ICCSA (3)	2003	DBLP DOI BibTeX RDF
23	John F. McDonald 0001, Bryan S. Goda	Reconfigurable FPGA's in the 1-20 GHz Band with HBT BiCMOS.	Evolvable Hardware	1999	DBLP DOI BibTeX RDF
23	Miguel Rodrigues, Vera L. Miguéis, Carlos Felix, Carlos Rodrigues	Machine learning and cointegration for structural health monitoring of a model under environmental effects.	Expert Syst. Appl.	2024	DBLP DOI BibTeX RDF
23	Zheng Zhang 0044, Xuzhi Lai, Chengda Lu, Sheng Du, Wanke Yu, Min Wu 0002	Statistics Pattern Cointegration Analysis-Based Bit Bounce Detection for Drilling Process.	IEEE Trans. Ind. Electron.	2024	DBLP DOI BibTeX RDF
23	Jacob Stærk-Østergaard, Anders Rahbek, Susanne Ditlevsen	High-Dimensional Cointegration and Kuramoto Inspired Systems.	SIAM J. Appl. Dyn. Syst.	2024	DBLP DOI BibTeX RDF
23	Ruiyao Zhang, Ping Zhou 0003, Junfei Qiao 0001	Anomaly Detection of Nonstationary Long-Memory Processes Based on Fractional Cointegration Vector Autoregression.	IEEE Trans. Reliab.	2023	DBLP DOI BibTeX RDF
23	Nur Ain Mohd Hassan, Kalsom Zakaria, Kamalrudin Mohamed Salleh, Siti Mashani Ahmad	An empirical analysis of Malaysian palm oil export to world major palm oil importing countries: evidence from a panel cointegration model.	Oper. Res. Decis.	2023	DBLP DOI BibTeX RDF
23	Jingxin Zhang 0002, Donghua Zhou, Maoyin Chen	Adaptive Cointegration Analysis and Modified RPCA With Continual Learning Ability for Monitoring Multimode Nonstationary Processes.	IEEE Trans. Cybern.	2023	DBLP DOI BibTeX RDF
23	Adirek Vajrapatkul	Exchange Rate, Interest Rates, and Stock Market Cointegration.	ICEME	2023	DBLP DOI BibTeX RDF
23	Asad ul Islam Khan, Waqar Muhammad Khan, Mehmood Hussan	Most stringent test of null of cointegration: a Monte Carlo comparison.	Commun. Stat. Simul. Comput.	2022	DBLP DOI BibTeX RDF
23	Tingjin Yan, Hoi Ying Wong	Equilibrium pairs trading under delayed cointegration.	Autom.	2022	DBLP DOI BibTeX RDF
23	Federico Maglione	Credit Spreads, Leverage and Volatility: A Cointegration Approach.	Comput.	2022	DBLP DOI BibTeX RDF
23	Jaydip Sen	Designing Efficient Pair-Trading Strategies Using Cointegration for the Indian Stock Market.	CoRR	2022	DBLP DOI BibTeX RDF
23	Simone Turrisi, Emanuele Zappa, Alfredo Cigada	Combined Use of Cointegration Analysis and Robust Outlier Statistics to Improve Damage Detection in Real-World Structures.	Sensors	2022	DBLP DOI BibTeX RDF
23	Jungang Du	Research on Small Sample Nonlinear Cointegration Test and Modeling Based on the LS-SVM Optimized by PSO.	Complex.	2022	DBLP DOI BibTeX RDF
23	Jaydip Sen	Optimum Pair-Trading Strategies for Stocks Using Cointegration-Based Approach.	OCIT	2022	DBLP DOI BibTeX RDF
23	Nikolas Stege, Christoph Wegener, Tobias Basse, Frederik Kunze	Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises.	Ann. Oper. Res.	2021	DBLP DOI BibTeX RDF
23	Shuang Liang 0006, Siyuan Lu, Jun Lin 0001, Zhongfeng Wang 0001	Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading.	IEEE Trans. Circuits Syst. I Regul. Pap.	2021	DBLP DOI BibTeX RDF
23	Aycan Hepsag	Testing for cointegration in nonlinear asymmetric smooth transition error correction models.	Commun. Stat. Simul. Comput.	2021	DBLP DOI BibTeX RDF
23	Jingxin Zhang 0002, Donghua Zhou, Maoyin Chen	Monitoring nonstationary processes based on recursive cointegration analysis and elastic weight consolidation.	CoRR	2021	DBLP BibTeX RDF
23	Jaeyoung Cheong, Heejoon Lee, Minjung Kang	Stock Index Prediction using Cointegration test and Quantile Loss.	CoRR	2021	DBLP BibTeX RDF
23	Kashif Ali, Hafsa Hina, Muhammad Ijaz, Mahmoud El-Morshedy	Nonlinear Cointegration and Asymmetric Adjustment in Purchasing Power Parity of the USA, Germany, and Pakistan.	Complex.	2021	DBLP DOI BibTeX RDF
23	Philip Hans Franses	Time-varying lag cointegration.	J. Comput. Appl. Math.	2021	DBLP DOI BibTeX RDF
23	Micaela Calderon, Marcelo León, Sergio Núñez	Empirical approach to arable land and livestock using cointegration and causality techniques with panel data.	ICAI Workshops	2021	DBLP BibTeX RDF
23	Siddak Singh Bakshi, Raj K. Jaiswal, Ritika Jaiswal	Efficiency Check Using Cointegration and Machine Learning Approach: Crude Oil Futures Markets.	FNC/MobiSPC	2021	DBLP DOI BibTeX RDF
23	Chunhui Zhao 0001, He Sun, Feng Tian	Total Variable Decomposition Based on Sparse Cointegration Analysis for Distributed Monitoring of Nonstationary Industrial Processes.	IEEE Trans. Control. Syst. Technol.	2020	DBLP DOI BibTeX RDF
23	Márcio Alves Diniz, Carlos A. de B. Pereira, Julio Michael Stern	Cointegration and Unit Root Tests: A Fully Bayesian Approach.	Entropy	2020	DBLP DOI BibTeX RDF
23	Jekka Chandrasekaran Sharmiladevi	Cointegration and Causality Study Among Inward FDI, Economic Growth and Exports: An Indian Perspective.	Int. J. Asian Bus. Inf. Manag.	2020	DBLP DOI BibTeX RDF
23	Yunyun Hu, Chunhui Zhao 0001	Fault Diagnosis With Dual Cointegration Analysis of Common and Specific Nonstationary Fault Variations.	IEEE Trans Autom. Sci. Eng.	2020	DBLP DOI BibTeX RDF
23	Shuang Liang 0006, Siyuan Lu, Jun Lin 0001, Zhongfeng Wang 0001	Hardware Accelerator for Engle-Granger Cointegration in Pairs Trading.	ISCAS	2020	DBLP DOI BibTeX RDF
23	Burak Alparslan Eroglu	Wavelet variance ratio cointegration test and wavestrapping.	J. Multivar. Anal.	2019	DBLP DOI BibTeX RDF
23	Svetlana Bekareva, Ekaterina Meltenisova, Nataliya Kravchenko	Central banks' inflation targeting and real exchange rates: Cointegration with structural breaks.	Model. Assist. Stat. Appl.	2019	DBLP DOI BibTeX RDF
23	Kexin Chen, Mei Choi Chiu, Hoi Ying Wong	Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration.	SIAM J. Financial Math.	2019	DBLP DOI BibTeX RDF
23	Hongru Li, Yaolong Li, He Yu	A Novel Health Indicator Based on Cointegration for Rolling Bearings' Run-To-Failure Process.	Sensors	2019	DBLP DOI BibTeX RDF
23	Sukrit Thongkairat, Woraphon Yamaka, Songsak Sriboonchitta	A Regime Switching Vector Error Correction Model of Analysis of Cointegration in Oil, Gold, Stock Markets.	Structural Changes and their Econometric Modeling	2019	DBLP DOI BibTeX RDF
23	Khunanont Lerkeitthamrong, Chatchai Khiewngamdee, Rossarin Osathanunkul	Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices: A Panel Cointegration Approach.	Structural Changes and their Econometric Modeling	2019	DBLP DOI BibTeX RDF
23	Le Hoang Anh, Tran Phuoc, Ha Thi Nhu Phuong	The Dependence Between International Crude Oil Price and Vietnam Stock Market: Nonlinear Cointegration Test Approach.	Structural Changes and their Econometric Modeling	2019	DBLP DOI BibTeX RDF
23	Yunyun Hu, Chunhui Zhao 0001	Nonstationary Fault Diagnosis by Dual Analysis of Common and Specific Fault Variations with Cointegration Analysis.	ACC	2019	DBLP DOI BibTeX RDF
23	Wang Zhang, Kaihui Nan, Qinggang Yang, Jianfeng Zhang, Hong Chen, Xinyan Zhang	Analysis of Factors Affecting Power Grid Investment Based on Johansen Cointegration Analysis Theory.	CSIA	2019	DBLP DOI BibTeX RDF
23	Mei Choi Chiu, Hoi Ying Wong	Robust dynamic pairs trading with cointegration.	Oper. Res. Lett.	2018	DBLP DOI BibTeX RDF
23	Pär Sjölander, Kristofer Månsson, Ghazi Shukur	A new nonlinear asymmetric cointegration approach using error correction models.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
23	Pär Sjölander, Kristofer Månsson, Ghazi Shukur	Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
23	Weide Li, Demeng Kong, Jinran Wu	A New Hybrid Model FPA-SVM Considering Cointegration for Particular Matter Concentration Forecasting: A Case Study of Kunming and Yuxi, China.	Comput. Intell. Neurosci.	2017	DBLP DOI BibTeX RDF
23	Phong B. Dao, Wieslaw J. Staszewski, Andrzej Klepka	Stationarity-Based Approach for the Selection of Lag Length in Cointegration Analysis Used for Structural Damage Detection.	Comput. Aided Civ. Infrastructure Eng.	2017	DBLP DOI BibTeX RDF
23	Nikolas Stege, Christoph Wegener, Tobias Basse, Frederik Kunze	Mapping interest rate projections using neural networks under cointegration: an application from stress testing approaches.	IML	2017	DBLP DOI BibTeX RDF
23	Elias de Souza Goncalves, Paulo Fernando Ferreira Rosa	Cointegration analysis for IMU in a fixed-wing UAV.	ICIT	2017	DBLP DOI BibTeX RDF
23	Aytaç Pekmezci, Mustafa Dilek	The Comparison of Performances of Widely Used Cointegration Tests.	Commun. Stat. Simul. Comput.	2016	DBLP DOI BibTeX RDF
23	Saeid Fallahpour, Hasan Hakimian, Khalil Taheri, Ehsan Ramezanifar	Pairs trading strategy optimization using the reinforcement learning method: a cointegration approach.	Soft Comput.	2016	DBLP DOI BibTeX RDF
23	Henry Penikas, Igor Sirotkin	Optimal hedging ratio modeling using interday and intraday risk estimation: Moving window regression vs. cointegration approach.	Model. Assist. Stat. Appl.	2016	DBLP DOI BibTeX RDF
23	Kunlong Chen, Jiuchun Jiang, Fangdan Zheng, Bingxiang Sun, Yanru Zhang	SOH estimation for lithium-ion batteries: A cointegration and error correction approach.	ICPHM	2016	DBLP DOI BibTeX RDF
23	Mei Choi Chiu, Hoi Ying Wong, Jing Zhao 0002	Commodity derivatives pricing with cointegration and stochastic covariances.	Eur. J. Oper. Res.	2015	DBLP DOI BibTeX RDF
23	Cássio Roberto Leite Netto, Luiz Paulo Lopes Fávero, Janilson Antonio Da Silva Suzart	House prices and real estate bubbles in Brazil: an analysis through Johansen cointegration.	Int. J. Appl. Decis. Sci.	2015	DBLP DOI BibTeX RDF
23	Anusree Mohan, P. Balasubramanian 0003	Factors affecting inflation in India: A cointegration approach.	ICACCI	2015	DBLP DOI BibTeX RDF
23	Deniz Dilan Karaman Örsal, Bernd Droge	Panel cointegration testing in the presence of a time trend.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
23	Guofeng Wang, Chang Liu, Yinhu Cui, Xiaoliang Feng	Tool wear monitoring based on cointegration modelling of multisensory information.	Int. J. Comput. Integr. Manuf.	2014	DBLP DOI BibTeX RDF
23	Marco Morales 0002	Cointegration testing under structural change: reducing size distortions and improving power of residual based tests.	Stat. Methods Appl.	2014	DBLP DOI BibTeX RDF
23	George N. Botzoris, E. G. Varagouli, Vassilios A. Profillidis, Basil K. Papadopoulos, P. Lathiras	Forecast of tourism demand with the use of fuzzy and cointegration econometric techniques.	J. Comput. Methods Sci. Eng.	2014	DBLP DOI BibTeX RDF
23	Glaura C. Franco, Valderio Anselmo Reisen, F. A. Alves	Bootstrap tests for fractional integration and cointegration: A comparison study.	Math. Comput. Simul.	2013	DBLP DOI BibTeX RDF
23	Niklas Ahlgren, Jan Antell	The power of bootstrap tests of cointegration rank.	Comput. Stat.	2013	DBLP DOI BibTeX RDF
23	Daiki Maki	The influence of heteroskedastic variances on cointegration tests: A comparison using Monte Carlo simulations.	Comput. Stat.	2013	DBLP DOI BibTeX RDF
23	Jihao Yin, Chao Gao, Xiuping Jia	A New Target Detector for Hyperspectral Data Using Cointegration Theory.	IEEE J. Sel. Top. Appl. Earth Obs. Remote. Sens.	2013	DBLP DOI BibTeX RDF
23	Brantley Liddle	Population, affluence, and environmental impact across development: Evidence from panel cointegration modeling.	Environ. Model. Softw.	2013	DBLP DOI BibTeX RDF
23	Mengtian Yue, Huirong Cao	Cointegration Analysis Based on Linear Error in Variable Model.	ICICA (1)	2012	DBLP DOI BibTeX RDF
23	Jihao Yin, Chao Gao, Xiuping Jia	Cointegration theory for adaptive target detection in hyperspectral images.	IGARSS	2012	DBLP DOI BibTeX RDF
23	Chris Bracegirdle, David Barber	Bayesian Conditional Cointegration.	ICML	2012	DBLP BibTeX RDF
23	Svend Hylleberg	Seasonal Integration and Cointegration in Economic Time Series.	International Encyclopedia of Statistical Science	2011	DBLP DOI BibTeX RDF
23	Christian Kascha, Carsten Trenkler	Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order.	Comput. Stat. Data Anal.	2011	DBLP DOI BibTeX RDF
23	Yonggang Ye, Tsangyao Chang, Ken Hung, Yang-Cheng Lu	Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration.	Math. Comput. Simul.	2011	DBLP DOI BibTeX RDF
23	Daiki Maki	Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment.	Commun. Stat. Simul. Comput.	2011	DBLP DOI BibTeX RDF
23	Tarek Sadraoui	A cointegration panel data analysis for international R&D spillovers and R&D cooperation: case study for Mediterranean countries.	Int. J. Knowl. Learn.	2011	DBLP DOI BibTeX RDF
23	Eleni Zafeiriou, Theodoros Koutroumanidis, Christos Karelakis, Spyridon Koutroubas	Surveying the Validity of PPP In the Dairy Sector of EU by Using Nonlinear Cointegration.	HAICTA	2011	DBLP BibTeX RDF
23	Melike Bildirici, Elçin A. Alp, Özgür Ömer Ersin	TAR-cointegration neural network model: An empirical analysis of exchange rates and stock returns.	Expert Syst. Appl.	2010	DBLP DOI BibTeX RDF
23	Michael Beenstock, Daniel Felsenstein	Spatial error correction and cointegration in nonstationary panel data: regional house prices in Israel.	J. Geogr. Syst.	2010	DBLP DOI BibTeX RDF
23	James Davidson, Andrea Monticini	Tests for cointegration with structural breaks based on subsamples.	Comput. Stat. Data Anal.	2010	DBLP DOI BibTeX RDF
23	Daiki Maki	An alternative procedure to test for cointegration in STAR models.	Math. Comput. Simul.	2010	DBLP DOI BibTeX RDF
23	Jia Chen, Degui Li, Li-Xin Zhang 0001	Robust estimation in a nonlinear cointegration model.	J. Multivar. Anal.	2010	DBLP DOI BibTeX RDF
23	Juan-Carlos Escanciano, Alvaro Escribano	Econometrics: Non-linear Cointegration.	Encyclopedia of Complexity and Systems Science	2009	DBLP DOI BibTeX RDF
23	Dietmar Bauer, Martin Wagner	Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure.	Comput. Stat. Data Anal.	2009	DBLP DOI BibTeX RDF
23	Kiyotaka Sato, Zhaoyong Zhang, David Allen	The suitability of a monetary union in East Asia: What does the cointegration approach tell?	Math. Comput. Simul.	2009	DBLP DOI BibTeX RDF
23	David Allen, Ghialy Yap, Riaz Shareef	Modelling interstate tourism demand in Australia: A cointegration approach.	Math. Comput. Simul.	2009	DBLP DOI BibTeX RDF
23	Christoph Hanck	A Meta Analytic Approach to Testing for Panel Cointegration.	Commun. Stat. Simul. Comput.	2009	DBLP DOI BibTeX RDF
23	Giuseppe Cavaliere, Luca Fanelli, Paolo Paruolo	Tests for cointegration rank and choice of the alternative.	Stat. Methods Appl.	2009	DBLP DOI BibTeX RDF
23	Weidong Li	Cointegration Analysis on the Relationship Between China's Highway Transportation Industry and National Economic Development.	SOLI	2009	DBLP DOI BibTeX RDF
23	Benzhao Yang	Cointegration and Causal Relation between Energy Intensity and Structure Change.	CSO (2)	2009	DBLP DOI BibTeX RDF
23	Niklas Ahlgren, Jan Antell	Bootstrap and fast double bootstrap tests of cointegration rank with financial time series.	Comput. Stat. Data Anal.	2008	DBLP DOI BibTeX RDF
23	Zheng Yang, Zheng Tian, Zixia Yuan	Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap.	Math. Comput. Simul.	2008	DBLP DOI BibTeX RDF
23	Chien-Chiang Lee, Chun-Ping Chang, Pei-Fen Chen	Money demand function versus monetary integration: Revisiting panel cointegration among GCC countries.	Math. Comput. Simul.	2008	DBLP DOI BibTeX RDF