Listagem FGV EPGE - Ensaios Econômicos por Assunto "Cointegração"

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Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

Guillen, Osmani Teixeira Carvalho; Hecq, Alain; Issler, João Victor; Saraiva, Diogo Vinícius Menezes
2014-06-02

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the ...
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillen, Osmani Teixeira Carvalho; Hecq, Alain; Issler, João Victor; Saraiva, Diogo Vinícius Menezes
2013-07-01

It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ...