In this paper, the concept of linear cointegration as introduced by Engle and Granger [5] is merged into the local paradigm. Adopting a local approach enables the achievement of a local error correction model characterised by dynamic parameters. Another important result obtained using the local paradigm is that the mechanism that leads the dynamic system back to a steady state is no longer a constant: it is a function not defined a priori but estimated point by point.
Nonlinear cointegration in financial time series
PIZZI, Claudio
2010-01-01
Abstract
In this paper, the concept of linear cointegration as introduced by Engle and Granger [5] is merged into the local paradigm. Adopting a local approach enables the achievement of a local error correction model characterised by dynamic parameters. Another important result obtained using the local paradigm is that the mechanism that leads the dynamic system back to a steady state is no longer a constant: it is a function not defined a priori but estimated point by point.File in questo prodotto:
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