A1246
Title: Alternative models for cointegrated time series: Theoretical and empirical study from the Polish stock market
Authors: Przemyslaw Jasko - Krakow University of Economics (Poland) [presenting]
Abstract: A systematic study of Cointegration tests and cointegrated time series Models is presented, which account for specific characteristics observed in financial time series (such as conditional heteroscedasticity, the possibility of nonlinearity in the Cointegration relationship and dynamics, and the possibility of Time-Varying and decaying Cointegration). Breitung's linear Cointegration test, Aparicio-Escribano's test for Cointegration in information, the RCC (Record Counting Cointegration) test by Escribano, and Breitung's rank test for monotonic Cointegration are methods for preselecting potentially related processes, which can then be analyzed using dynamic Models. Conditional Error Correction Models (CECM), assuming time-constant Cointegration, and Bayesian Time-Varying Parameter VECMs with shrinkage priors and SAVS post-sparsification are considered. The empirical material of the study consists of time series of the main index WIG20 constituents of the Warsaw Stock Exchange.
