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

Research output: Book/ReportCommissioned reportProfessional

Original languageEnglish
Place of PublicationHelsinki
PublisherSwedish School of Economics and Business Administration
Number of pages40
ISBN (Print)0357-4598, 951-555-925-1
Publication statusPublished - 2006
MoE publication typeD4 Published development or research report or study

Publication series

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

Keywords

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

Projects

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

Ahlgren, N.

01.01.199931.12.2002

Project: Externally funded project

FINANCIAL MARKETS AND TIME SERIES

Ahlgren, N. & Antell, J.

01.03.199831.12.2012

Project: Externally funded project

Cite this

Ahlgren, N., & Antell, J. (2006). Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series. ( Swedish School of Economics and Business Administration. Working Papers). Swedish School of Economics and Business Administration. http://brunnen.shh.fi/portals/pubmanager/pdf/519-951-555-925-1.pdf