This paper provides densities and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response ...

Asymptotic theory for the estimation of nonlinear vector error correction models that exhibit regime-specific short-run dynamics is developed. In particular, regimes ...

The use of stress testing for risk monitoring has increased considerably over the last decade. Stress testing - a simulation technique used to assess the strength of a portfolio or a financial ...