Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Niklas Ahlgren; Jan Antell

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Research output: Book/Report › Commissioned report

Original language	English

Place of Publication	Helsinki
Publisher	Swedish School of Economics and Business Administration
Number of pages	40
ISBN (Print)	0357-4598, 951-555-925-1
Publication status	Published - 2006
MoE publication type	D4 Published development or research report or study

Publication series

Name	Swedish School of Economics and Business Administration. Working Papers
Publisher	Swedish School of Economics and Business Administration
ISSN (Print)	0357-4598

Keywords

512 Business and Management
bootstrap
cointegration
financial time series
likelihood ratio test

Access to Document

http://brunnen.shh.fi/portals/pubmanager/pdf/519-951-555-925-1.pdf

2 Finished

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS
Ahlgren, N.
01.01.1999 → 31.12.2002
Project: Externally funded project
FINANCIAL MARKETS AND TIME SERIES
Ahlgren, N. & Antell, J.
01.03.1998 → 31.12.2012
Project: Externally funded project

Cite this

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title = "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series",

keywords = "512 Business and Management, bootstrap, cointegration, financial time series, likelihood ratio test",

author = "Niklas Ahlgren and Jan Antell",

year = "2006",

language = "English",

isbn = "0357-4598",

series = " Swedish School of Economics and Business Administration. Working Papers",

publisher = "Swedish School of Economics and Business Administration",

address = "Finland",

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TY - BOOK

T1 - Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

AU - Ahlgren, Niklas

AU - Antell, Jan

PY - 2006

Y1 - 2006

KW - 512 Business and Management

KW - bootstrap

KW - cointegration

KW - financial time series

KW - likelihood ratio test

M3 - Commissioned report

SN - 0357-4598

SN - 951-555-925-1

T3 - Swedish School of Economics and Business Administration. Working Papers

BT - Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

PB - Swedish School of Economics and Business Administration

CY - Helsinki

ER -

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Publication series

Keywords

Access to Document

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

FINANCIAL MARKETS AND TIME SERIES

Cite this