Cointegration in high frequency data

Cointegration and Exchange Market Efficiency: An Analysis of High Frequency Data

Low-frequency robust cointegration testing

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data’s persistence. This paper considers low-frequency tests about cointegrating vectors under a range of restrictions on the common stochastic trends. We quantify how much power can potentially be gained by exploiting ...

Testing for cointegration in high-dimensional systems

This paper considers cointegration tests for dynamic systems where the number of variables is large relative to the sample size. Typical examples include tests for unit roots in panels where the units are linked by complicated dynamic relationships. It is well known that conventional cointegration tests based on a parametric (vector autoregressive) representation of the system break down if the...

Detecting spurious jumps in high frequency data

We propose a technique to avoid spurious detection of jumps in high frequency data via an explicit thresholding on available test statistics. We prove that it eliminates asymptotically all spurious jumps. Monte Carlo results show that it performs also well in finite samples. Our empirical investigation of Dow Jones stocks reveals that the spurious detections represent up to 50% of the jumps det...

High frequency skin ultrasonography in systemic sclerosis

Background: Systemic sclerosis is an autoimmune connective tissue disorder which is characterised by cutaneous and internal organ fibrosis. Raynaud’s phenomenon is the earliest feature and may precede the onset of the disease by months to years. The heart, lungs, gastrointestinal tract, kidneys and other organs may be involved. Our aim was to evaluate skin thickness and echogenicity in systemic...