Time-Varying Cointegration is a cointegration framework in which the long-run equilibrium relationship between non-stationary time series is modeled as evolving over time, distinguishing it from static cointegration models by allowing the cointegrating vector to vary as a function of time or state variables.
179
Publications
15K
Citations
312
Authors
248
Institutions
Publications per year
2017–2026
39
Parents
Publications
179
Cointegration and Tests of Present Value Models
John Y. Campbell, Robert J. Shiller · Journal of Political Economy · 1987 · 2.1K citations
Seasonal integration and cointegration
Svend Hylleberg, Robert F. Engle, C.W.J. Granger et al. · Journal of Econometrics · 1990 · 1.5K citations
1–5 of 179
Authors
312
- BM
7
h-index
- PC
6
h-index
- CG
3
h-index
- CL
3
h-index
- JIJeyhun I. Mikayilov
King Abdullah Petroleum Studies and Research Center, Saudi Arabia
3 publications · 307 citations
3
h-index
1–5 of 312
Institutions
248
Trinity College Dublin
Dublin, Ireland
5 h-index
7 publications
649 citations
Monash University
Melbourne, Australia
5 h-index
5 publications
150 citations
Aarhus University
Aarhus, Denmark
5 h-index
5 publications
1.6K citations
University of York
York, United Kingdom
4 h-index
4 publications
286 citations
Yale University
New Haven, United States
4 h-index
5 publications
226 citations
Chinese University of Hong Kong
Hong Kong, Hong Kong
4 h-index
4 publications
123 citations
University of Southampton
Southampton, United Kingdom
4 h-index
4 publications
115 citations
Economic Scientific Research Institute
Baku, Azerbaijan
3 h-index
3 publications
307 citations
1–8 of 248
Venues
- Journal of Econometrics
16 publications · 3K citations
13
h-index
- SSRN Electronic Journal
Repository · 10 publications · 421 citations
10
h-index
- RePEc: Research Papers in Economics
Repository · 8 publications · 391 citations
8
h-index
- Economics Letters
7 publications · 194 citations
7
h-index
- Energy Economics
7 publications · 481 citations
7
h-index
1–5