TY - THES T1 - Modelling nonlinearities in cointegration relationships A1 - Schweikert,Karsten Y1 - 2017/08/23 N2 - This thesis is concerned with the statistical modelling of long-run equilibrium relationships between economic variables. It comprises of four main chapters - each representing a standalone research paper. The connecting thread is the use of nonlinear cointegration models. More precisely: Chapter 2, Asymmetric price transmission in the US and German fuel markets: A quantile autoregression approach, proposes a new econometric model for asymmetric price transmissions using quantile regressions. Chapter 3, Are gold and silver cointegrated? New evidence from quantile cointegration, investigates the potentially nonlinear long-run relationship between gold and silver prices. Chapter 4, Testing for cointegration with SETAR adjustment in the presence of structural breaks, develops a new cointegration test with SETAR adjustment allowing for the presence of structural breaks in the equilibrium equation. Chapter 5, A Markov regime-switching model of crude oil market integration, revisits the globalization-regionalization hypothesis for the world crude oil using a Markov-switching vector error correction model. KW - Kointegration KW - Zeitreihenanalyse KW - Rohstoff KW - Ökonometrie CY - Hohenheim PB - Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim AD - Garbenstr. 15, 70593 Stuttgart UR - http://opus.uni-hohenheim.de/volltexte/2017/1385 ER -