Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement ...

This article evaluates the finite-sample performance of various tests for cointegration by Monte Carlo methods. The evaluation takes place within the linear quadratic model. The results indicate sharp ...

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo ...

Cointegration examines whether exchange rates and price levels move together over time, reflecting a stable long-run relationship even when individual series exhibit persistent shocks. Purchasing ...

Hedging methods are divided into single-period and multiperiod forms. After reviewing some well-known hedging algorithms, two new procedures called the Dickey-Fuller optimal (DFO) method and the ...

In this paper we show how cointegration can be applied to capture the joint dynamics of multiple energy spot prices. For an example system we study the Title Transfer Facility, the Zeebrugge gas spot ...