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Future Developments in the Study of Cointegrated Variables

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  • Granger, C W J
  • Swanson, Norman

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 58 (1996)
Issue (Month): 3 (August)
Pages: 537-53

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Handle: RePEc:bla:obuest:v:58:y:1996:i:3:p:537-53

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Cited by:
  1. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  2. He, Dequan & Holt, Matthew T., 2004. "Efficiency Of Forest Commodity Futures Markets," 2004 Annual meeting, August 1-4, Denver, CO 20344, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  3. Li, Dao & He, Changli, 2012. "Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models," Working Papers 2012:7, Örebro University, School of Business.
  4. Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Macroeconomics 0507019, EconWPA.
  5. Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis.
  6. Carlos Felipe Lopez Suarez & Jose Antonio Rodriguez Lopez, 2008. "Nonlinear Exchange Rate Predictability," Working Papers 080911, University of California-Irvine, Department of Economics, revised Sep 2010.
  7. Giorgio Valente & Lucio Sarno, 2004. "Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Working Papers wp04-11, Warwick Business School, Finance Group.
  8. Sarno, Lucio, 1999. "Stochastic growth: Empirical evidence from the G7 countries," Journal of Macroeconomics, Elsevier, vol. 21(4), pages 691-712.
  9. Charles S. Morris & Robert Neal & Douglas Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City.
  10. Philip Arestis & Iris Biefang-Frisancho Mariscal, . "Capital Shortages and Asymmetries in UK Unemployment," Working Papers 9607, University of East London, Department of Economics.
  11. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88.
  12. Lin, Yan-Xia & McCrae, Michael & M. Gulati, Chandra, 1998. "Cointegration between exchange rates: a generalized linear cointegration model," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 333-352, September.
  13. Milas, C., 2003. "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers 03/08, Department of Economics, City University London.

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