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ToolsMarkellos, Raphael-Nicholas (2011) Nonlinear Cointegration using Lyapunov Stability Theory. In: Progress in Financial Markets Research. Financial Institutions and Services . Nova Science Publishers.
Full text not available from this repository. (Request a copy)Abstract
This paper extends the nonlinear cointegration approach of Granger and Hallman (1991) and Sephton (1994) using the framework of stochastic Lyapunov stability theory. The extended approach is nonparametric and has the advantage of being general enough to accommodate complicated nonlinear behavior. It is demonstrated that it is possible to construct nonlinear cointegrated systems with error-correction mechanisms that have no predictive ability. An empirical application of the proposed methodology shows that the monthly UK Gilt-Equity ratio implies a significant nonlinear cointegration relationship for the period January 1965 to December 1995. Error-correction models built from this cointegration relationship are found to have superior forecasting performance compared to a simple dynamic regression.
| Item Type: | Book Section |
|---|---|
| Faculty \ School: | Faculty of Social Sciences > Norwich Business School |
| UEA Research Groups: | Faculty of Social Sciences > Research Groups > Finance Group Faculty of Social Sciences > Research Centres > Centre for Competition Policy |
| Depositing User: | Raphael Markellos |
| Date Deposited: | 28 Oct 2011 10:42 |
| Last Modified: | 20 Jun 2023 14:51 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/35254 |
| DOI: |
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