Before structural health monitoring (SHM) technologies can be reliably implemented on structures outside laboratory conditions, the problem of environmental variability in monitored features must be ...

We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent ...

Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement ...

Nonlinear cointegration and time series analysis represent a dynamic area of research that extends the classical framework of cointegration by allowing the long-run equilibrium relationships among ...

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We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo ...

Hedging methods are divided into single-period and multiperiod forms. After reviewing some well-known hedging algorithms, two new procedures called the Dickey-Fuller optimal (DFO) method and the ...