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 ...

Executive Summary.This study investigates the causal relationship between inflation and property returns and the short- and long-term inflation hedging effectiveness of property assets in Hong Kong.

Integration for seasonal time series can take the form of seasonal periodic or nonperiodic integration. When seasonal time series are periodically integrated, we show that any cointegration is either ...