... structural break at 2012Q2, aligned with the March 2012 PSI, strengthening inference on cointegration and long-run relationships over an extended, crisis-prone sample. Findings The results confirm cointegration with a significant speed of adjustment and pronounced asymmetries in the transmission...

.... Design/methodology/approach The methodology integrates cointegration analysis with frequency decomposition techniques, employing the fast Fourier transform (FFT) on stationary spreads derived from pairs of global equity indices. Potential asset pairs are first identified through the Engle-Granger...

...-unit shock in “X” on “Y” under the VAR environment. Findings The authors' study finds a significant relationship between all the macroeconomic variables and the stock market index of Malaysia. The cointegration results indicate a long-term relationship, whereas the vector autoregressive-based...

... cointegration. The situation is different in the short run, where only EUR/RUB, EUR/USD, and EUR/CNY possess significant relations with other parities. Originality/value The Ruble is not among hard currencies, but its position strengthened during this period due to the importance of Russian gas...

...Felix Canitz; Panagiotis Ballis-Papanastasiou; Christian Fieberg; Kerstin Lopatta; Armin Varmaz; Thomas Walker Purpose The purpose of this paper is to review and evaluate the methods commonly used in accounting literature to correct for cointegrated data and data that are neither stationary nor...