In this paper we investigate the merits of artiicial neural networks in forecasting foreign exchange rates. From previous research it is known that it is hard to beat the random walk model using structural exchange rate models. In this paper we show that by using a suitable multivariate speciication a structural model can be derived that beats the random walk. By introducing a new method for mu...

We extend the study of the algebraic structure of the V ARd,b(k) model defined from the fractional lag operator in Johansen (2005) and derive conditions under which its solution is fractional of order d and displays linear combinations that are fractional of order d− b, d− 2b, · · · , d− cb ≥ 0, for integer c. We then find the corresponding moving average representation and the cofractional rel...

A number of articles written in recent years about the pattern of blood flow through the amphibian heart have described results which differ quite widely (Simons, 1957, 1959; de Graaf, 1957; Johansen, 1963; Shelton & Jones, 1965a, b). One of the main difficulties in interpretation has been that all the work cited above has been done on different species of anuran and urodele. It is clearly poss...

The three-state progressive model is a special multi-state model with important applications in Survival Analysis. It provides a suitable representation of the individual's history when an intermediate event (with a possible influence on the survival prognosis) is experienced before the main event of interest. Estimation of transition probabilities in this and other multi-state models is usuall...

This research uses multivariate cointegration analysis to assess the degree . of competition in the U.S. natural gas industry following the move to open access pipeline transportation. The testing methodology allows multiple nodes in the pipeline network to be analyzed simultaneously and is based on recent advances by Johansen (1988, 1991) and Johansen and Juselius (1990) on estimation and hypo...

Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines bullion, metal, energy commodity prices through Granger causality Johansen–Juselius cointegration tests. test results show bidirectional between returns for gold, silver, aluminum, lead, nickel, zinc. Johansen shows that are long-run equilibrium pa...