We consider the forecasting of cointegrated variables, and we show that at long horizons" nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate" forecast a
This article develops new t and F tests in a low-frequency transformed triangular cointegrating regression when one may not be certain that the economic variables are exact unit root pro
This paper deals with formulation of Partially Replicating Index Tracking Portfolio with the use of cointegration. The paper is partly a replication of Christian L. Dunis & Richard Ho (2005) [publishe
